11 A fund manager estimated a market model (i.e., equation (3) in lecture 6) on stock...
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11 A fund manager estimated a market model (i.e., equation (3) in lecture 6) on stock ABC and stock XYZ, respectively, and obtained the results reported in the table below. The variance of returns on the market portfolio i.e., var(Rm), is 0.04, and the variance of returns on stock ABC is 0.25 (see table below). Of the 0.25 estimate, calculate the proportion that is attributed to market risk. Write your answer in percentage, and in 0 decimal place e.g., 90%. (1.5 Points) Average actual stock return Variance of stock returns i.e., yar(R₁) Stock beta i.e., B Enter your answer ABC 0.15 0.25 1.2 XYZ 0.10 0.16 1.4 11 A fund manager estimated a market model (i.e., equation (3) in lecture 6) on stock ABC and stock XYZ, respectively, and obtained the results reported in the table below. The variance of returns on the market portfolio i.e., var(Rm), is 0.04, and the variance of returns on stock ABC is 0.25 (see table below). Of the 0.25 estimate, calculate the proportion that is attributed to market risk. Write your answer in percentage, and in 0 decimal place e.g., 90%. (1.5 Points) Average actual stock return Variance of stock returns i.e., yar(R₁) Stock beta i.e., B Enter your answer ABC 0.15 0.25 1.2 XYZ 0.10 0.16 1.4
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