danbelucio
26.06.2020 •
Business
You would like to combine a risky stock with a beta of 1.87 with U.S. Treasury bills in such a way that the risk level of the portfolio is equivalent to the risk level of the overall market. What percentage of the portfolio should be invested in the risky stock
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Ответ:
46.5%
Explanation:
The treasury bills have zero beta as they have no systematic risk. Beta is used in the Capital asset pricing Model to demonstrate a relationship between systematic risk and rate of return.
Expected Return = Rf + Beta * Rp
The percentage that should be invested in the risky portfolio will be,
1 - 1 / Beta
1 - 1 / 1.87
= 46.5%
Ответ:
Because it is better to organize that way when the person is coding the program. It is easily identifiable.