Expected return / beta
17. The expected return on the market is 13% and the risk-free rate is 5%. Your portfolio has a beta of 1.3. What is the expected return on your portfolio?
18. What is the beta of the following portfolio?
40% Stock A Beta = 1.2
30% Stock B Beta = 1
30% Stock C Beta = 0.9
19. The more ________________________ the covariance of two assets, the greater the benefits of diversification.
20. The risk-free rate is 6% and the expected return on the market is 12%. Which of the following stocks is most undervalued?
Stock A Expected Return = 11% Beta = 1.5
Stock B Expected Return = 11% Beta = 0.5
21. You have taken a job with an arbitrage firm. An analyst has presented the following information to you.
Stock A Expected Return is 12%
Stock B Expected Return is 15%.
As arbitrage trader what action would you take?
25. Total Risk is comprised of ___________________ + _______________________.
26. ______________________________ can be largely diversified away.© SolutionLibrary Inc. solutionlibary.com 9836dcf9d7 https://solutionlibrary.com/business/finance/expected-return-beta-3eup