Market Returns using standard deviation and beta
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?
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.