QUESTION :The table below provides information on two individual risky assets A, the market portfolio M and the risk-free assets F.

Asset	Expected Return	Standard deviation
A	12%	60%
M(market)	8%	15%
F(risk free)	2%	0%

Calculate the following:

1. Systematic risk of asset A
2. Sharpe ratio and Treynor ratio of asset A.
3. Suppose you want to construct a portfolio with expected return at 20% and have the following options:
4. Invest in A and F
5. Invest in M and F

6. Please compute the total risk (standard deviation) and systematic risk (beta) of the above two options.

Solution:

i just wanna ask how they calculated B= 5/3

5 a) E(R) R +B(Rm - Rf) 2%B(8%-2%) 12% B 3