Example(9): Calculating Portfolio Betas Consider the Austin Fund, a large investment company that wishes to assess...

 

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Example(9): Calculating Portfolio Betas Consider the Austin Fund, a large investment company that wishes to assess the risk of two portfolios, V and W. Calculate the betas for portfolios V and W. Portfolio V Asset 1 234 5 Total Proportion 0.10 0.30 0.20 0.20 0.20 1.00 Beta 1.65 1.00 1.30 1.10 1.25 Portfolio W Proportion 0.10 0.10 0.20 0.10 0.50 1.00 Beta 0.80 1.00 0.65 0.75 1.05 • The portfolio beta: - the weighted average of the betas of the individual assets in the portfolio. n =Σw₁ * Bi Bp = (W₁ * B₁) + (W₂ * B₂) + ... + (a₁ + Pn) = [ * *** ➤ Example(9): Calculating Portfolio Betas Consider the Austin Fund, a large investment company that wishes to assess the risk of two portfolios, V and W. Calculate the betas for portfolios V and W. Portfolio V Asset 1 234 5 Total Proportion 0.10 0.30 0.20 0.20 0.20 1.00 Beta 1.65 1.00 1.30 1.10 1.25 Portfolio W Proportion 0.10 0.10 0.20 0.10 0.50 1.00 Beta 0.80 1.00 0.65 0.75 1.05 • The portfolio beta: - the weighted average of the betas of the individual assets in the portfolio. n =Σw₁ * Bi Bp = (W₁ * B₁) + (W₂ * B₂) + ... + (a₁ + Pn) = [ * *** ➤

Answer rating: 100% (QA)

Given Data Portfolio V Weight of Asset 1 W 010 Weight of Asset 2 W 030 Weight of Asset 3 W3 020 Weig... View the full answer