In the wonderland country, the return on the market portfolio is 14,45%, and standard deviation of market return is 12,1% and the risk free return is 2,65%. You may form a portfolio with the securities X, Y and Z with the following characteristics: parameters security x security y security z beta 0.96 1.07 1,95 total risk 38.5% 25.4% 23.8% protifolio weight 25% 40% 35% Which security has the lowest total risk? b) If the market return decrease 0,85%, which is the expected impact in security Y return? c) Determine the expected beta and expected return of the portfolio with weights as represented in the table above. d) Determine the unsystematic risk associated to security X

In the wonderland country, the return on the market portfolio is 14,45%, and standard deviation of market return is 12,1% and the risk free return is 2,65%. You may form a portfolio with the securities X, Y and Z with the following characteristics: parameters security x security y security z beta 0.96 1.07 1,95 total risk 38.5% 25.4% 23.8% protifolio weight 25% 40% 35% Which security has the lowest total risk? b) If the market return decrease 0,85%, which is the expected impact in security Y return? c) Determine the expected beta and expected return of the portfolio with weights as represented in the table above. d) Determine the unsystematic risk associated to security X

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13QTD

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