Jason Jackson is attempting to evaluate two possible portfolios consisting of the same five assets but held in different proportions. He is particularly interested in using beta to compare the risk of the portfolios and, in this regard, has gathered the following data: 8. a. Calculate the betas for portfolios A and B. b. Compare the risk of each portfolio to the market as well as to each other. Which portfolio is more risky? Review Only Click the icon to see the Worked Solution. a. The beta of portfolio A is (Round to three decimal places.) The beta of portfolio B is (Round to three decimal places.) b. Portfolio (1). .is slightly less risky than the market (average risk), while portfolio (2) more risky than the market. Portfolio (3). given increase or decrease in market risk. (Select from the drop-down menus.) L's return will move more than portfolio (4)- L's for a Portfolio (5). .is the more risky portfolio. (Select from the drop-down menu.) 8: Data Table (Click on the icon here in order to copy its contents of the data table below into a spreadsheet.) Portfolio Weights Asset Asset Beta Portfolio A Portfolio B 1 1.26 25% 31% 2 0.69 35% 14% 3 1.28 13% 22% 4 1.12 5% 20% 5 0.89 22% 13% Total 100% 100% (1) O B O A (4) O B O A (2) O B (3) O B (5) O B A A A
Jason Jackson is attempting to evaluate two possible portfolios consisting of the same five assets but held in different proportions. He is particularly interested in using beta to compare the risk of the portfolios and, in this regard, has gathered the following data: 8. a. Calculate the betas for portfolios A and B. b. Compare the risk of each portfolio to the market as well as to each other. Which portfolio is more risky? Review Only Click the icon to see the Worked Solution. a. The beta of portfolio A is (Round to three decimal places.) The beta of portfolio B is (Round to three decimal places.) b. Portfolio (1). .is slightly less risky than the market (average risk), while portfolio (2) more risky than the market. Portfolio (3). given increase or decrease in market risk. (Select from the drop-down menus.) L's return will move more than portfolio (4)- L's for a Portfolio (5). .is the more risky portfolio. (Select from the drop-down menu.) 8: Data Table (Click on the icon here in order to copy its contents of the data table below into a spreadsheet.) Portfolio Weights Asset Asset Beta Portfolio A Portfolio B 1 1.26 25% 31% 2 0.69 35% 14% 3 1.28 13% 22% 4 1.12 5% 20% 5 0.89 22% 13% Total 100% 100% (1) O B O A (4) O B O A (2) O B (3) O B (5) O B A A A
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 13QTD
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Transcribed Image Text:9. Jason Jackson is attempting to evaluate two possible portfolios consisting of the same five assets but held in different
proportions. He is particularly interested in using beta to compare the risk of the portfolios and, in this regard, has gathered
the following data: ®.
a. Calculate the betas for portfolios A and B.
b. Compare the risk of each portfolio to the market as well as to each other. Which portfolio is more risky?
Review Only
Click the icon to see the Worked Solution.
a. The beta of portfolio A is
(Round to three decimal places.)
The beta of portfolio B is
(Round to three decimal places.)
b. Portfolio (1)
is slightly less risky than the market (average risk), while portfolio (2).
IS
more risky than the market. Portfolio (3)
given increase or decrease in market risk. (Select from the drop-down menus.)
L's return will move more than portfolio (4)-
's for a
Portfolio (5)-
is the more risky portfolio. (Select from the drop-down menu.)
8: Data Table
(Click on the icon here
in order to copy its contents of the data table below into a spreadsheet.)
Portfolio Weights
Asset Asset Beta Portfolio A
Portfolio B
1
1.26
25%
31%
2
0.69
35%
14%
3
1.28
13%
22%
4
1.12
5%
20%
5
0.89
22%
13%
Total
100%
100%
(1) O B
(2) O B
(3)
В
(4) O B
(5) ОВ
O A
O A
O A
O A
O A
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