Explore BrainMass

Explore BrainMass

    Market Returns using standard deviation and beta

    Not what you're looking for? Search our solutions OR ask your own Custom question.

    This content was COPIED from BrainMass.com - View the original, and get the already-completed solution here!

    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?

    © BrainMass Inc. brainmass.com March 4, 2021, 11:28 pm ad1c9bdddf
    https://brainmass.com/business/six-sigma/market-returns-standard-deviation-beta-426317

    Solution Preview

    a.
    covariance = r * sigma m * sigma p

    where
    r = coefficient of correlation between returns of market and portfolio
    sigma = standard deviation of returns for market and ...

    Solution Summary

    The solution determines the market returns using standard deviation and beta.

    $2.49

    ADVERTISEMENT