A portfolio has 40% invested in Asset 1,50% invested in Asset 2 and 10% invested in Asset 3.Asset 1 has a beta of 1.2,Asset 2 has a beta of 0.8 and Asset 3 has a beta of 1.8,what's the beta of the portfolio?

Question

Quizplus · Accepted Answer

Suppose the expected return of Asset 1 is R₁,the expected return of Asset 2 is R₂,the expected return of Asset 3 is R_3,the risk free rate is R_f,and the market return is R_m. Portfolio expected return = 0.4R₁ + 0.5R₂ + 0.1R₃ = 0.4[R_f+1.2(R_m-R_f)]+ 0.5[R_f+0.8(R_m-R_f)]+ 0.1[R_f+1.8(R_m-R_f)] = R_f+1.06(R_m-R_f)]

A Portfolio Has 40% Invested in Asset 1,50% Invested in Asset