Security Actual Return Std Dev Beta
A 27% 20% 1.6
B 22% 25% 0.9
Risk free 3% 0% 0
In one year, we observe that Stock B exactly met its expectations.
1) What is the portfolio beta if you invest 20% in A, 45% in B, and 35% in the risk free asset?
2) What is the market premium?
3) Did Stock A (over/under/exactly) perform its expected return?