Please provide step by step instructions to complete the questions asked. This is the only information given in the book.
Suppose the standard deviation of the market return is 20%
A) What is the standard deviation of returns on a well-diversified portfolio with a beta of 1.3?
B) What is the standard deviation of returns on a well-diversified portfolio with a beta of 0?
C) A well-diversified portfolio has a standard deviation of 15%. What is its beta?
D) A poorly diversified portfolio has a standard deviation of 20%. What can you say about its beta?
covariance = r * sigma m * sigma p
r = coefficient of correlation between returns of market and portfolio
sigma = standard deviation of returns for market and ...
The solution determines the market returns using standard deviation and beta.