You want to construct a portfolio with the following three assets: $ invested b1 b2 Asset...
You want to construct a portfolio with the following three assets:
|
$ invested |
b1 |
b2 |
|
|
Asset X |
$1,000 |
0.1 |
1.8 |
|
Asset Y |
$2,460 |
2.3 |
0.3 |
|
Asset Z |
$6,320 |
0 |
0 |
What is hte expected return of this portfolio, if assets with no risk yield 3.0% and the risk premiums for factors 1 and 2 are 4.3% and 7.8%, respectively?
Answer in percentage without the symbol.
Homework Answers
=(1000*(3%+0.1*4.3%+1.8*7.8%)+2460*(3%+2.3*4.3%+0.3*7.8%)+6320*(3%+0*4.3%+0*7.8%))/(1000+2460+6320)
=7.56%
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