Solve the following questions using the data given below

Stocks	Mean Return	Variance of Return
X	2	2.25
Y	4	36
Z	6	4
Stocks	Mean Return	Variance of Return
X	2	2.25
Y	4	36
Z	6	4

Correlations
X and Y	X and Z	Z and Y
0.5	0.2	0.9

Covariance with the market
X	0.2
Y	0.5
Z	0.7

Market Variance

0.5

Other Betas	HML	SMB
X	0.3	1
Y	0.4	1.2
Z	0.5	0.7

	Risk Premiums
RF	2%
Market	7%
HML	3%
SMB	9%

1-) Portfolio 1 : X (40%) and Y (60%)

a-) Find the Standard Deviation and the Expected Return of the portfolio

Fill the following variance covariance matrix (just the numbers up to 2 decimal points)

	X	Y
X
Y

	portfolio
stdev
mean

b-) Find the market, HML, and SMB betas of the portfolio.

	market	HML	SMB
BETA

c-) What are the required rate of returns of the portfolio based on CAPM and FF3 factor models, respectively.

	CAPM	FFF3
return

2-) Portfolio 2 : X (30%) - Y (40%) - Z (30%)

a-) Find the Standard Deviation and the Expected Return of the portfolio

Fill the following variance covariance matrix (just the numbers up to 2 decimal points)

	X	Y	Z
X
Y
Z

	portfolio
stdev
mean