What is the beta of the following portfolio

Reference no: EM131427102

The expected return of the S&P 500, which you can assume is the tangency portfolio, is 16% and has a standard deviation of 25% per year. The expected return of Microsoft is unknown, but it has a standard deviation of 20% per year and a covariance with the S&P 500 of 0.10. If the risk free rate is 6 percent per year,

a. Compute Microsoft's beta.

b. What is Microsoft's expected return given the beta computed in part a?

c. If Intel has half the expected return of Microsoft, then what is Intel's beta?

d. What is the beta of the following portfolio?

25 in Microsoft

.10 in Intel

.75 in the S&P 500

- .20 in GM (where βGM = .80)

.10 in the risk-free asset

e. What is the expected return of the portfolio in part d?

Reference no: EM131427102

Questions Cloud

Develop a swot analysis for company : The airlines industry has experienced a lot of turbulence in recent years that inhibits its ability to plan for the future - How might your chosen airlines company go about developing some growth strategies in each of the boxes: penetration, market ..

Is given a test of homogeneity or independence : Is this a survey, a retrospective study, a prospective study, or an experiment? Explain.- Is this a test of homogeneity or independence?

Mechanical design - warman ball collection and sorting : EGB 210 Fundamentals of Mechanical Design - Warman ball collection, sorting and delivery concept presentation. You will use the first 6-steps of the Design Process (Karsnitz 2013) to solve the problem of collecting, sorting and delivering the balls ..

Creating store objects and restaurant objects : You should test creating Store objects and Restaurant objects, your set methods and get methods, toString and equals methods.

What is the beta of the following portfolio : What is Microsoft's expected return given the beta computed in part a?

How to avoid and also solve the problems : How to avoid and also solve the problems caused by non-repeatable read, dirty read, and phantom read in concurrent processing. Please be specific to the question and be as detailed as possible. Answer to be made in 4-6 pages.

Compute the expected returns of these two portfolios : Then compute the risk premiums of these two portfolios assuming the risk-free rate is the "zero-beta rate" implied by the factor equations for the three stocks in exercise 6.3. This is the expected return of a portfolio with factor betas of zero.

Are the conditions for inference satisfied : Is this a test of homogeneity or independence?- Write an appropriate hypothesis.- Are the conditions for inference satisfied?- Find the P-value for your test.

Compute the firm-specific variance : Compute the firm-specific variance and firmspecific standard deviation of a portfolio that minimizes the firm-specific variance of a portfolio of 20 stocks. The first 10 stocks have firm-specific variances of .10. The second 10 stocks have firmspe..

User Account

All Pages