A Portfolio Contains Four Assets

question 85

Multiple Choice

A portfolio contains four assets. Asset 1 has a beta of .8 and comprises 30% of the portfolio. Asset 2 has a beta of 1.1 and comprises 30% of the portfolio. Asset 3 has a beta of 1.5 and comprises 20% of the portfolio. Asset 4 has a beta of 1.6 and comprises the remaining 20% of the portfolio. If the riskless rate is expected to be 3% and the market risk premium is 6%,what is the beta of the portfolio?

• A) 0.80
• B) 1.10
• C) 1.19
• D) 1.25
• E) 1.40

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