Situation 2: Assume that now you want to apply Modern Portfolio Theory, therefore, you replace...
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Situation 2: Assume that now you want to apply Modern Portfolio Theory, therefore, you replace your investment amount in T-bill with Bitcoin which has expected return of 32.00% and standard deviation of 75.00%. Correlation Matrix BITCOIN Sanz 3-yr Bond BBL stock Kerry Logistics stock BITCOIN Sanz 3-yr Bond BBL stock Kerry Logistics stock 1.0 0.45 0.90 0.75 1.0 0.30 0.50 1.0 0.80 1.0 2 D. Calculate expected return of this 4-asset portfolio with Bitcoin. (2 points) E. What is the standard deviation for the 4-asset portfolio with Bitcoin? (11 points) = = = = II Standard deviationport F. Apply CAPM, calculate Beta of the 4-asset portfolio with Bitcoin, and Required return of the portfolio with 4 assets. Assume beta of Bitcoin equals 3.52. (2 points)
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