Three securities have the following expected returns and beta: Securities Return Beta A 10% 0.65 B...

Three securities have the following expected returns and beta:

Securities	Return	Beta
A	10%	0.65
B	18%	1.37
C	25%	0.22

a) Calculate the expected return of a portfolio if all the securities are held equally.
b) Given the standard deviation for the securities A, B, and C is 12%, 14% and 18% while its covariance is 60, 20, and -30 respectively, estimate the standard deviation of this portfolio.
c) Based on the risk-return relation, redesign the securities holding proportion in the manner that it rebalances the portfolio risk to maximize its return.

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jeff jeffy answered 1 year ago

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