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Determine the portfolio weightings

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Assume that the conditions of CAPM hold. A share has a beta of 1.3 and an expected return of 18%. A risk-free asset currently earns 6%. Answer the questions below concerning different portfolios consisting of these two assets.

(i) Determine the expected return on a portfolio that has weightings of 0.25 in the risk-free asset and 0.75 in the share.

(ii) Given that a portfolio of the two assets has a beta of 0.8, determine the portfolio weightings.

(iii) Given that a portfolio of the two assets has an expected return of 9%, determine its beta.

Reference no: EM133112890

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