Imagine an equally-weighted portfolio of 3 stocks with Betas 0.8, 1, and 1.2, with respective non-systematic risks each
Posted: Sun May 08, 2022 10:46 am
Imagine an
equally-weighted portfolio of 3 stocks with Betas 0.8, 1, and 1.2,
with respective non-systematic risks each 25%. If the
(1-factor) APT (or CAPM) holds and the Market has risk 18%, find
the risk of the 3-stock portfolio.
[Hint: The variance of a portfolio of uncorrelated assets is
the sum of squared-weights times corresponding
variances: {"version":"1.1","math":"\sum
w_i^2\sigma_i^2"}]
18%
23%
31%
5.3%
equally-weighted portfolio of 3 stocks with Betas 0.8, 1, and 1.2,
with respective non-systematic risks each 25%. If the
(1-factor) APT (or CAPM) holds and the Market has risk 18%, find
the risk of the 3-stock portfolio.
[Hint: The variance of a portfolio of uncorrelated assets is
the sum of squared-weights times corresponding
variances: {"version":"1.1","math":"\sum
w_i^2\sigma_i^2"}]
18%
23%
31%
5.3%