U.S. market portfolio: Variance: 0.12 Expected rate of return: 0.10 Foreign portfolio: Variance estimated based on dollar rate of return: 0.20 Expected dollar rate of return: 0.13 Correlation Coefficient (estimated based on dollar rate of return) between the U.S. market portfolio and the foreign portfolio: .50 What is the beta of the foreign portfolio?

U.S. market portfolio: Variance: 0.12 Expected rate of return: 0.10 Foreign portfolio: Variance estimated based on dollar rate of return: 0.20 Expected dollar rate of return: 0.13 Correlation Coefficient (estimated based on dollar rate of return) between the U.S. market portfolio and the foreign portfolio: .50 What is the beta of the foreign portfolio?

Financial Management: Theory & Practice

16th Edition

ISBN:9781337909730

Author:Brigham

Publisher:Brigham

Chapter6: Risk And Return

Section: Chapter Questions

Problem 12MC: Calculate the correlation coefficient between Blandy and the market. Use this and the previously...

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Which of the following refers to the Sharpe performance measure? It measures the sensitivity of a national market to world market movements. It shows an increase in the portfolio return at international level. It reflects the increase in the portfolio return at domestic-equivalent risk level. It estimates the excess return per standard deviation risk.
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