Quiz 3 - Investment Analysis & Portfolio Management

Winter 2020

Time allowed: 15 minutes

Instructions:

1. Please prepare your own hand written formula sheet to be used during the exam, as no formulas
are given in the quiz.

2. You are required to upload the formula sheet along with the subjective portion of the quiz, so we
know which formulas you used during the quiz.

3. You are required to write formulas in your answers and also, show how the data was entered in
the formulas to get the answers.

SDM is 10, RM is 20, Rf is 10, you invested half of your OE in M and the other half in Rf. Please find
1. Expected return of the portfolio
2. Total risk of the portfolio
3. Beta of the portfolio
4. Non-diversifiable risk of portfolio
5. Diversifiable risk of the portfolio
6. Market price of risk, that is, market risk premium.
7. R2 of the portfolio
8. Is it a high risk portfolio, please explain your answer