What is the portfolio expected return and the portfolio beta if you invest 30% in A, 30% in B and 40% in the risk-free asset?
A) 9.6%; 1.32
B) 9.6%; 1.00
C) 10.1%; 0.95
D) 10.1%; 0.72
E) 10.1%; 0.63

Question

Quizplus · Accepted Answer

The portfolio expected return is calculated by weighting the returns of A, B, and the risk-free asset. The portfolio beta is calculated by weighting the betas of A, B, and the risk-free asset (which is 0).

What Is the Portfolio Expected Return and the Portfolio Beta