The risk-free rate is 0.06, the return on the market portfolio is 0.11, and the variance...

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The risk-free rate is 0.06, the return on the market portfolio is 0.11, and the variance of the market portfolio's return is 0.25. An asset has a standard deviation of 1.4 percent, and its returns have a correlation coefficient of 0.30 with the market portfolio's returns. a. What is the beta of this asset? And what is its expected return? | b. If you invest 40 percent of your wealth in the riskless asset and the remaining in this asset, what is the beta of your investment? And what is the expected return of your investment? The risk-free rate is 0.06, the return on the market portfolio is 0.11, and the variance of the market portfolio's return is 0.25. An asset has a standard deviation of 1.4 percent, and its returns have a correlation coefficient of 0.30 with the market portfolio's returns. a. What is the beta of this asset? And what is its expected return? | b. If you invest 40 percent of your wealth in the riskless asset and the remaining in this asset, what is the beta of your investment? And what is the expected return of your investment?

Answer rating: 100% (QA)

a The beta of the asset can be calculated using the formula beta correlation co... View the full answer