Problem
A. Calculate the average return, standard deviation of Blandy, Gourmange, Portfolio, and Market as well as the correlation of the Blandy & Market and Gourmange & Market, respectively using the data below.
B. Caculate the beta from the standard deviation of the Blandy and Market, the correlation of Blandy and Market, and then calculate the required return for the Blandy.
C. Caculate the beta from the standard deviation of the Gourmange and Market, the correlation of the Gourmange and Market, and then calculate the required return for the Gourmange.
D. Calculate the beta of the portfolio, and then the required rate of return of the portfolio and the standard deviation of the portfolio.
Data1: rRF=4%, rM=9%,Weight of the Blandy=.75 &Weight of the Gourmange= 0.25%, and beta of the portfolio= 0.7785
Data2:
|
year
|
blandy
|
gourmange
|
portfolio
|
market
|
|
1
|
0.26
|
0.47
|
0.3125
|
0.3
|
|
2
|
0.15
|
-0.54
|
0.0225
|
0.07
|
|
3
|
-0.14
|
0.15
|
0.0675
|
0.18
|
|
4
|
-0.15
|
0.07
|
-0.095
|
-0.22
|
|
5
|
0.02
|
-0.28
|
-0.055
|
-0.14
|
|
6
|
-0.18
|
0.4
|
-0.035
|
0.1
|
|
7
|
0.42
|
0.17
|
0.3575
|
0.26
|
|
8
|
0.3
|
-0.23
|
0.1675
|
-0.1
|
|
9
|
-0.32
|
-0.04
|
-0.25
|
-0.03
|
|
10
|
0.28
|
0.75
|
0.3975
|
0.38
|