Problema 11; Página 364

Calculating Portfolio Betas You own a portfolio equally invested in a risk-free asset and two stocks. If one of the stocks has
other stock in your portfol

beta 1.61
3 Assets 0.333
Beta free risk 0
portfolio beta 1
assets 3
beta of the other stock 1.39
cks. If one of the stocks has a beta of 1.61 and the total portfolio is equally as risky as the market, what must the beta be for the
other stock in your portfolio?
st the beta be for the
Problema 17; Página 364
Using the SML Asset W has an expected return of 12.3 percent and a beta of 1.2. If the risk-free rate is 4 percent, complete t
return and portfolio beta by plotting the expected returns aga

expected return 12.30% Relationship between Portfolio return and beta =Risk free rate + Bet
beta 1.2 Portfolio Beta =(Portfolio Expected Return -Risk free rate)/(Market R
risk free rate 4%

Percentage of Portfolio PortFolio Expectes

in Asset W Return Portfolio Beta
0% 4.00% -
25% 6.08% 0.30
50% 8.15% 0.60
75% 10.23% 0.90
100% 12.30% 1.20
125% 14.38% 1.50
150% 16.45% 1.80
slope of SML is market risk premium =(Expected return-Risk free rate)/Beta 
slope of the line: 6.9167%
 is 4 percent, complete the following table for portfolios of Asset W and a risk-free asset. Illustrate the relationship between portfolio expe
he expected returns against the betas. What is the slope of the line that results?

eta =Risk free rate + Beta*(Market Return -Risk free rate)

Risk free rate)/(Market Return -Risk free rate)
tionship between portfolio expected
Problema 23; Página 365
Analyzing a Portfolio You want to create a portfolio equally as risky as the market and you have $1,000,000 to invest. Given th

Asset Investment Beta % Asset

Stock A $ 190,000.00 0.83 19% Stock A
Stock B $ 325,000.00 1.19 33% Stock B
Stock C 1.45 34.33% Stock C
Risk-free asset 14% Risk-free asse
$ 1,000,000.00

1 $ 0.54
1 0.1577 0.38675 1.45 Wc
1 0.54445 1.45 Wc
0.45555 1.45 wc
0.314 wc amount invested in c
nd you have $1,000,000 to invest. Given this information, fill in the rest of the following table:

Investment Beta
$ 190,000.00 0.83
$ 325,000.00 1.19
$ 314,000.00 1.45
$ 171,000.00 0
$ 1,000,000.00