You have the following information on two securities in which you have invested:
|
Security
|
Expected Return
|
Standard Deviation
|
Beta
|
Percent Invested(w)
|
|
Xerox
|
15%
|
4.5%
|
1.20
|
35%
|
|
Kodak
|
12%
|
3.8%
|
0.98
|
65%
|
a. Which stock is riskier in a portfolio context? Which stock is riskier if you are considering them as individual assets (not part of a portfolio)?
b. Compute the expected return on the portfolio.
c. If the securities have a correlation of +0.60, compute the standard deviation of the portfolio.
d. Compute the beta of the portfolio.