Step by step please. Thanks 11. (Risk analysis) Assume the market portfolio...
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11. (Risk analysis) Assume the market portfolio has expected rate of return im = 0.12 and standard deviation om = 0.3. The risk-free rate is rf = 0.02. There is another stock, a, in the market with a = 0.6, Pam = 0.1. (a) Find Ta and Ba. (b) A new asset, b, has the same expected return as a but a standard deviation of ob=0.8. What is the idiosyncratic error of b? (c) Another asset, c, enters the market with pe =0.8. What percentage of the risk of cis idiosyncratic? 11. (Risk analysis) Assume the market portfolio has expected rate of return im = 0.12 and standard deviation om = 0.3. The risk-free rate is rf = 0.02. There is another stock, a, in the market with a = 0.6, Pam = 0.1. (a) Find Ta and Ba. (b) A new asset, b, has the same expected return as a but a standard deviation of ob=0.8. What is the idiosyncratic error of b? (c) Another asset, c, enters the market with pe =0.8. What percentage of the risk of cis idiosyncratic
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