You are provided with historical data on the risk characteristics of TAMC and Kaisa. Beta TAMC...
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You are provided with historical data on the risk characteristics of TAMC and Kaisa. Beta TAMC 0.78 Annual standard deviation of 21 return (%) Kaisa 1.01 26 The correlation coefficient of TAMC's return versus Kaisa's return is 0.37. Assume the standard deviation of returns on the market was 15 percent. (a) What is the standard deviation of a portfolio invested half in TAMC and half in Kaisa? 19.50 (b) What is the standard deviation of a portfolio invested one-third in TAMC, one-third in Kaisa, and one-third in Treasury bills? You are provided with historical data on the risk characteristics of TAMC and Kaisa. Beta TAMC 0.78 Annual standard deviation of 21 return (%) Kaisa 1.01 26 The correlation coefficient of TAMC's return versus Kaisa's return is 0.37. Assume the standard deviation of returns on the market was 15 percent. (a) What is the standard deviation of a portfolio invested half in TAMC and half in Kaisa? 19.50 (b) What is the standard deviation of a portfolio invested one-third in TAMC, one-third in Kaisa, and one-third in Treasury bills?
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Related Book For
Principles of Corporate Finance
ISBN: 978-0077404895
10th Edition
Authors: Richard A. Brealey, Stewart C. Myers, Franklin Allen
Posted Date:
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