Question: QUESTION 9 You have observed the following returns over time. Year Stock X Stock Y Market 2015 12% 11% 9% 2016. 12% 5% 10% 2017

QUESTION 9

  1. You have observed the following returns over time.

    Year Stock X Stock Y Market

    2015 12% 11% 9%

    2016. 12% 5% 10%

    2017 -16% -7% -12%

    2018. 2% 1% 1%

    2019. 18% 12% 16%

    Assume that the risk-free rate is 6% and the market risk premium is 5%

    What is the beta of portfolio consisting of 70% stock X and 30% stock Y

    a.

    1.07
    b.

    1.2
    c.

    1.3
    d.

    1.25

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