There are distinct portfolios, A, B and C. Portfolio AB Expected Returns Standard Deviation 0.2 0.2...

 

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There are distinct portfolios, A, B and C. Portfolio AB Expected Returns Standard Deviation 0.2 0.2 0.3 0.4 0.27 missing C PAB = 0.5 a) Determine the variance of portfolio C. (15 marks) b) Using portfolios A and B above and given that the risk free rate is 3%, compute the maximum feasible Sharpe ratio for the tangent portfolio, T. (15 marks) c) Compute the correlation, PA,T, between the tangent portfolio, T and portfolio A. (15 marks) d) If T is the tangent portfolio, evaluate the beta of portfolio A when the risk free rate is 3%. (5 marks) There are distinct portfolios, A, B and C. Portfolio AB Expected Returns Standard Deviation 0.2 0.2 0.3 0.4 0.27 missing C PAB = 0.5 a) Determine the variance of portfolio C. (15 marks) b) Using portfolios A and B above and given that the risk free rate is 3%, compute the maximum feasible Sharpe ratio for the tangent portfolio, T. (15 marks) c) Compute the correlation, PA,T, between the tangent portfolio, T and portfolio A. (15 marks) d) If T is the tangent portfolio, evaluate the beta of portfolio A when the risk free rate is 3%. (5 marks)