12.Assume the market portfolio can be decomposed into three large portfolios X, Y and Z representing respectively all stocks in three distinct economic sectors (such as Industry, Agriculture,...


12.Assume the market portfolio can be decomposed into three large portfolios X, Y and Z representing respectively all stocks in three distinct economic sectors (such as Industry, Agriculture, Services). Their respective market capitalizations are 40%, 50% and 10% of the market capitalization respectively. You also know the X has a beta of 1.8, Y has a beta of 0.3, what’s the beta of portfolio Z?


a.1.3
b.0.9
c.0.2
d.-0.3



Jun 07, 2022
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