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19.11.2019 •
Business
Stock j has a beta of 1.23 and an expected return of 13.25 percent, while stock k has a beta of .84 and an expected return of 10.60 percent. you want a portfolio with the same risk as the market.a. what is the portfolio weight of each stock? (do not round intermediate calculations and round your answers to 4 decimal places, e.g., .1616.) b. what is the expected return of your portfolio? (do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)
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Ответ:
Stock J 0,5047
Stock K 0,4953
b. What is the expected return of your portfolio?Stock J 6,69%
Stock K 5,25%
Portfolio : 11,94%
Explanation:
To find the Beta that equals to market we need to know how much is x (weight of each stock in the portfolio) with an equation of one variable that equals to 1.
Portoflio with the same risk as the market means a beta of 1,00
1,23 (x) + 0,84 (1-x) = 1 Stock J = 0,4103
1,23x + 0,84 - 0,84x = 1 Stock K = 0,5897
1,23x - 0,84x = 0,16
0,39x = 0,16
x = 0,16/0,39
x = 0,4103
The expected return of the portfolio it's defined by the weight of each stock and the expected return.
Stock J 13,25% 0,5047 6,69%
Stock K 10,60% 0,4953 5,25%
Portfolio 1,00 11,94%
Ответ:
−3°C > 1°C
Step-by-step explanation: