2. .)Calculate the proportions of Security A and security B
that represent the minimum variance portfolio.
)What is the beta of an equally weighted portfolio of all
4.) Assuming unsystematic risk equal to zero and a
market variance of 0.25 what is the variance of the
portfolio in problem 3?
1.)Suppose you split your money 50-50 between the two
securities shown in table 6-12.
)What is the expected return of the two securities
b.)What is the portfolio beta?
1.) In problem 1,what is the covariance between
Security A and the market?
/ariance of the market 0.0002;PAR 0.6.
3. What is the portfolio variance in problem 1?
4. )Suppose you split your money between securities A and
B from problem 1. What percentage of your portfolio
variance comes from the interaction component of total
1.) The current exchange rate in one U.S dollar equal to
1.4456 units of currency G. In the United States
the T-bill rate is 8,68 percent. The 60 -day forward
rate for currency G is $ 0.7100/What country G
interest rate is implied in these prices?
4. )Suppose a Canadian dollar costs 75 cents in US
money. If the market begins in equilibrium what should
the new exchange rate be if US inflation is 1 percent
higher than Canadian inflation ?
6.) You have Y1,000,000 in bonds that will mature in 90
days. Using current data from the wall street journal,
show how you can hedge the foreign exchange risk by
doing the following
.uusing forward market.
.Jusing futures market
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