the three efficient portfolios that we calculated.
a. If the interest rate is 10%, which of the four efficient portfolios should you hold?
b. What is the beta of each holding relative to that portfolio? ( Hint: Note that if a portfolio is efficient, the expected risk premium on each holding must be proportional to the beta of the stock relative to that portfolio. )
c. How would your answers to (a) and (b) change if the interest rate were 5%?
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What is the beta of each holding relative to that portfolio? was first posted on July 24, 2020 at 3:17 pm.
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What is the beta of each holding relative to that portfolio? was first posted on July 24, 2020 at 3:20 pm.
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