Question 1: The market portfolio is assumed to be composed of two securities, investment X and investment Y. Determine based on the information given the average return, standard deviation and coefficient variation. Which is the better investment?
Year Return X Return Y
1997 16.5% 17.5%
1998 14.2% 13.2%
1999 13.5% 14.5%
2000 16.1% 15.1%
2001 12.2% 13.2%
2202 11.5% 10.5%
Question 2: A portfolio consists of 5 securities with the following Beta and Proportions:
What is the Beta of the Portfolio?
Asset Beta Proportions
1 1.35 .1
2 1.12 .2
3 1.67 .3
4 1.04 .2
5 1.55 .2