Mutually uncorrelated assets

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Reference no: EM131059364

(Uncorrelated assets) Suppose there are n mutually uncorrelated assets. The return on asset i has variance sigmai2. The expected rate of return are unspecified at this point. The total amount of asset i in the market is Xi. We let T = n i = 1 Xi and then set xi = Xi/T, for i = 1, 2, ..., n. Hence the market portfolio in normalized form is x = (x1, x2, ..., xn). Assume there is a risk-free asset with rate of return rf. Find an expression for betaj in terms of the Xi's and sigmai's.

Reference no: EM131059364

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