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Calculate the systematic risk and required return of each stock. Calculate the performance of the portfolio of the three Calculate the systematic risk of the portfolio of the three

Calculate the systematic risk and required return of each stock. Calculate the performance of the portfolio of the three Calculate the systematic risk of the portfolio of the three

EBK CONTEMPORARY FINANCIAL MANAGEMENT
EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 25P
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  1. B) Suppose we have a portfolio consisting of three (3)  shares with the following items:

Share

Weighting

Standard deviation (s)

Correlation with the market portfolio

A

0,3

0,12

0,38

B

0,3

0,24

0,62

C

0,4

0,11

0,51

The standard deviation of the market portfolio is 11%, the return on the market portfolio is 7%, and the annual risk-free interest rate is 4%.

  1. Calculate the systematic risk and required return of each stock.
  2. Calculate the performance of the portfolio of the three
  • Calculate the systematic risk of the portfolio of the three
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just to make sure:

in order to calculate the expected return of stock in our case the Rm is 7% or 11%?

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i don't understand the written solution

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