In: Finance
P5.29 Jeanne Lewis is attempting to evaluate two possible portfolios consisting of the same five
assets but held in different proportions. She is particularly
interested in using beta to com-
pare the risk of the portfolios and, in this regard, has gathered
the following data.
Portfolio Weights
Asset Asset Beta Portfolio A Portfolio B
1 1.3 10% 30%
2 0.7 30% 10%
3 1.25 10% 20%
4 1.1 10% 20%
5 0.9 40% 20%
Total 100% 100%
a. Calculate the betas for portfolios A and B.
b. Compare the risk of each portfolio to the market as well as
to each other. Which port-
folio is more risky?
P5.30 Referring to Problem 5.29, if the risk-free rate is 2% and
the market return is 7%, calcu-
late the required return for each portfolio using the CAPM.
i want problem 5.30