A Portfolio Contains Four Assets

question 24

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, the expected return on the portfolio and the market?

• A) 1.19; 6.57; 6
• B) 1.19; 7.14; 6
• C) 1.19; 10.14; 9
• D) 1.25; 10.5; 6
• E) 1.25; 10.5; 9

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