Beta Expected return Determine whether this portfolio have more or less systematic risk than an average asset.

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 16P
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Consider a portfolio comprise of three securities in the following proportion and with the indicated securities beta.

Security Amount Invested Beta Expected return
A 1.5million 1.0 12%
B 1million 1.5 13.5%
C 2million 0.8 9%

Calculate the portfolio’s;

  1. Beta
  2. Expected return
  3. Determine whether this portfolio have more or less systematic risk than an average asset.
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