Question: Which security has the highest systematic risk? Why? What is the systematic risk of the portfolio? Is the systematic risk of the portfolio more or

Which security has the highest systematic risk? Why? What is the

Which security has the highest systematic risk? Why?
What is the systematic risk of the portfolio?
Is the systematic risk of the portfolio more or less than the market? Why?
Can we claim unsystematic (residual) risk of Security C is greater than unsystematic risk of Security D?

Standard Stock Beta Deviation 2.69 Weights 13.30% 20.00% 26.70% 40.00% Security A Security B Security C Security D 0.2 40% 40% 25% 25% 2.16 2.4 a) Which security has the highest systematic risk? Why? (5 pts) b) What is the systematic risk of the portfolio? (5 pts) c) Is the systematic risk of the portfolio more or less than the market? Why? (5 pts) d) Can we claim unsystematic (residual) risk of Security Cis greater than unsystematic risk of Security D? (5 pts)

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