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Calculate the portfolio expected return and the portfolio

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Reference no: EM132531826

Consider the following two securities X and Y.

SECURITY      RETURN            STANDARD DEVIATION            Beta

X                  20.0%                 20.0%                             1.5

Y                 10.0%                 30.0%                                1.0

Risk-free asset 5.0%

Question i) Which security (X or Y) in Table 1 has the least total risk? Which has the least systematic risk? Explain your answer.

Question ii) Calculate the systematic risk for a portfolio with two-thirds of the funds invested in X and one-third invested in Y?

Question iii) Calculate the portfolio expected return and the portfolio beta if you invest 35 percent in X, 45 percent in Y, and 20 percent in the risk-free asset?

Reference no: EM132531826

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