Optimal Portfolio allocation
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A $1 million portfolio is currently invested in fund A. Fund A beta is 1.6. The portfolio manager considers switching some of the portfolio into fund B that has a beta of 0.6.
a. What would be the new portfolio allocation (investment in A and in B) that will achieve a portfolio beta goal of 1.20?
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Solution Summary
The solution depicts the steps to calculate new portfolio allocation which meets the criteria of given portfolio beta.
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What would be the new portfolio allocation (investment in A and in B) that will achieve a portfolio beta goal of 1.20?
Let the ...
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- BEng (Hons) , Birla Institute of Technology and Science, India
- MSc (Hons) , Birla Institute of Technology and Science, India
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