Security Sinle-index Model Estimates X Y 2 3 1 Bi 1.5 1.3 0.8 o(e.) 3% 1% 2% Given the data for security i (i.e., X, Y and Z) in the table above and the fact that expected rate of return on the market, E(rm), is 8% and standard deviation of market return, om, is 5%, calculate the following: (i) The expected return and risk of each of the securities. (ii) The expected return and risk of a portfolio that invests equally in these securities.
Security Sinle-index Model Estimates X Y 2 3 1 Bi 1.5 1.3 0.8 o(e.) 3% 1% 2% Given the data for security i (i.e., X, Y and Z) in the table above and the fact that expected rate of return on the market, E(rm), is 8% and standard deviation of market return, om, is 5%, calculate the following: (i) The expected return and risk of each of the securities. (ii) The expected return and risk of a portfolio that invests equally in these securities.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:Question: 1
Security
Sinle-index Model Estimates
Y
2
3
1
Bi
1.5
1.3
0.8
o(e;)
3%
1%
2%
Given the data for security i (i.e., X, Y and Z) in the table above and the fact that expected rate of
return on the market, E(rm), is 8% and standard deviation of market return, om, is 5%, calculate
the following:
(i) The expected return and risk of each of the securities.
(11) The expected return and risk of a portfolio that invests equally in these securities.
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