Question: The current risk-free return is 8%, and the data for the market portfolios M and A assets are as follows: Market Expected Return: 16% Expected

The current risk-free return is 8%, and the data for the market portfolios M and A assets are as follows:

Market Expected Return: 16%

Expected return of A: 24%

Market volatility: 12%

Volatility of A: 24%

Correlation coefficient between A and M: 1

(1) What if we get the market beta that Asset A has?

(2) What is the magnitude of A's risk of systemic risk?

(3) What is the magnitude of A's risk of non-systemic risk?

Hint:

1) The magnitude of the risk is calculated by the standard deviation of the Ri.

2) Ri is exposed to market premiums as much as beta, so some sizes (beta * market risk premium) are determined accordingly, while others (Ri-beta * market risk premium) are determined by non-systematic risk.

3) If you look for the volatility of the yield, which is determined by the systemic risk of the two parts, then that will be systemic risk.

* var(aX) = (a^2) VarX

* Systemic and unsystematic risks are independent of each other.

Indicate the risk in % and up to the 2nd decimal place.

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