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Is there a connection between the Sharpe optimal ratio and the CAPM?
The portfolio with the highest Sharpe ratio is on the efficient frontier, according CAPM. The Excel spreadsheet at the related link allows you to calculate a Sharpe optimal portfolio
What is the beta of a portfolio?
The beta of a portfolio is the weighted average of individual betas of assets in that portfolio. There is an example of portfolio beta calculation here: http://www.riskyreturn.com/portfolio_beta.html
What does portfolio beta mean?
The beta of a portfolio is the weighted average of individual betas of assets in that portfolio. There is an example of portfolio beta calculation here: http://www.riskyreturn.com/portfolio_beta.html
How to find the beta of a portfolio?
The beta of a portfolio is the weighted average of individual betas of assets in that portfolio. There is an example of portfolio beta calculation here: http://www.riskyreturn.com/portfolio_beta.html
How do you determine a portfolio's beta value?
The beta of a portfolio is the weighted average of individual betas of assets in that portfolio. There is an example of portfolio beta calculation here: http://www.riskyreturn.com/portfolio_beta.html
If portfolio a has a beta of 1.5 and portfolio z has a beta of -1.5 what do the two values indicate?
Simple scenario: Taking into account beta of index is set at 1.0; Lets say market increases by 5% Beta of 1.5 would indicate that the particular portfolio would increase by 7.5% as for beta of -1.5, the portfolio would decrease by 7.5% Beta is a measure of sensitivity of market base on the reference index. Negative beta would mean that the portfolio is inversely proportional to market performance.
What is the difference between an efficient portfolio and the optimal portfolio?
The difference is that an efficient portfolio is one that offers the lowest risk for the greatest return or vice versa. An optimal portfolio is one that is preferred by investors because it is tailored specifically to the individual's risk preferences.
Which is the best measure for an asset held in a diversified portfolio?
beta
Is a diversified portfolio with a beta of 2 twice as volatile as the market portfolio?
Yes. That's what it means. The "beta of 2" is a comparison to the market portfolio. The volatility measure is usually annualized standard deviation and the "market portfolio" is commonly the S&P 500 Index, but should be a broad index that is similar to the securities in the portfolio. The market portfolio used for a portfolio of international securities could be the MSCI EAFE Index, for example.
How do you calcualte the optimal size of IPO?
How do you calculate the optimal size of an IPO?
You form a portfolio by investing equally in A beta0.8 B beta1.2 the risk-free asset and the market portfolio What is your portfolio beta?
The portfolio consists of four stock: A, B, risk-free asset and the market. The weights will be 0.25 each and the portfolio beta = (0.25 x 0.8) + (0.25 x 1.2) + (0.25 x 0) + (0.25 x1) = 0.75 Akshita Mehta
How do you increase beta in pension funds?
The pension fund would have to adjust its portfolio of equities so that it purchased ones with a higher beta.
