(a) Use the single-index model to calculate the expected return of a portfolio composed of the following four securities:

ER_m = 15 per cent
Standard Deviation of the market index = 20 per cent
(b) What is the systematic risk associated with the expected return of the four-security portfolio?

Question

(a) Use the single-index model to calculate the expected return of a portfolio composed of the following four securities:

ER_m = 15 per cent
Standard Deviation of the market index = 20 per cent
(b) What is the systematic risk associated with the expected return of the four-security portfolio?

Quizplus · Accepted Answer

The Answer of (a) Use the single-index model to calculate the expected return of a portfolio composed of the following four securities: ER_m = 15 per cent Standard Deviation of the market index = 20 per cent (b) What is the systematic risk associated with the expected return of the four-security portfolio?

(A) Use the Single-Index Model to Calculate the Expected Return