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Q1.Assuming the following: Matrix Expected Return Std. Dev.-(Answered)

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Question

Q1.Assuming the following:

Matrix

Expected Return

Std. Dev.

Correlation Matrix

Security

(% p.a.)

(% p.a.)

A

B

M

F

A

????????????? 15

? ? ? ? ? ? ? ??7

??? 1

?

?

?

Market Index (M)

?????????? 12.0

? ? ? ? ? ? ? ?3

0.3

0.5

? 1

?

90-day Treasury Notes (Rf)

???????????? 5.0

?????????????? 0

0.3

0.2

?0.3

?? 1

?

The ?eta for Security A is:


Q2.Assuming the following for Asset A:

 

Paper#9256672 | Written in 27-Jul-2016

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