You have researched three securities you would like to add to your passive investment in an S&P index. You have projected E(R ), S and beta for the three securities.

Symbol	Expected Return	Total Risk (S)	Required Return (K)	Beta ()	Jensen	Idiosyncratic risk (Se)
DPZ	13%	18%		0.8
TECH	12%	17%		1.2
AKAM	14%	20%		1.1
S&P	9%	12%	-		-	-
RF	2%	-	-	-	-	-

1. Fill in the missing information in the table
2. Create an active portfolio invested in the three securities (find the weights for each security)
3. Calculate your Active portfolio's alpha, beta, total risk (S) and idiosyncratic risk (Se).
4. Calculate your allocation (%) to the active portfolio (W_A)

Calculate the E(R ) and S of your total investment (passive + active)

Answer rating: 100% (QA)

To fill in the missing information in the table we need to calculate the required return K for each ... View the full answer