Three Rivers Investment Company desires to construct a portfolio with a 20 percent expected return. The portfolio is to consist of some combination of Security X and Security Y, which have the following expected returns, standard deviations of returns, and betas:
|
|
Security X
|
Security y
|
|
Expected Return
|
15%
|
26%
|
|
Standard Deviation
|
10%
|
20%
|
|
Beta
|
0.94
|
1.33
|
Determine the expected beta of the portfolio.