Consider a portfolio exhibiting an expected return of 6% in an economy where the riskless interest rate is 1%, the expected return on the market portfolio is 10% and the standard deviation of the return to the market portfolio is 5%. Assuming that the portfolio is efficient, determine: • its beta • the standard deviation of its return • its correlation with the market return

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A: Market return = 12% Market premium = 7% Risk free rate = 12%-7% = 5%

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A:

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Q: Need help

A: The formula to calculate required return is given below:

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A: Expected return = Risk free rate + beta * (market return - risk free rate )

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A: given, rf=3%rm=8%σm=10%   portfolio weights volatility correlation HEC 0.23 11% 0.33 Green…

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A: Treynor ratio = Portfolio Return - Risk Free ReturnPortfolio Beta

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Q: maximum level of risk aversion

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