In an environment with risk-free rate of zero, if Stock A has return of 10% and Beta of 1.0 and stock B has return of 8%
Posted: Wed Mar 09, 2022 8:41 am
In an environment with risk-free rate of zero, if Stock A has
return of 10% and Beta of 1.0 and stock B has return of 8% with
Beta of 0.5, find a zero-beta portfolio and state its return.
[Note a negative amount indicates short-selling, which we assume is
allowed here]
Question 8 options:
67% in A, 33% in B; -3%
-50% in A, 150% in B; 1%
-100% in A, 200% in B; 6%
0% in A, 100% in B; 8%
return of 10% and Beta of 1.0 and stock B has return of 8% with
Beta of 0.5, find a zero-beta portfolio and state its return.
[Note a negative amount indicates short-selling, which we assume is
allowed here]
Question 8 options:
67% in A, 33% in B; -3%
-50% in A, 150% in B; 1%
-100% in A, 200% in B; 6%
0% in A, 100% in B; 8%