a) If the expected rate of return on the market is 14% and the risk free rate is 6%, find the beta for a portfolio that has an expected rate of return of 10%. What assumptions concerning this portfolio and/or market conditions do you need to make to calculate the portfolios beta?


b) What percentage of this portfolio must an individual put into the market portfolio in order to achieve an expected return of 10%? Suppose that securities (divisible assets) are priced as if they traded in a two parameter economy. You have forecast the correlation coefficient between the rate of return on a Mutual fund (K) and the market portfolio as being 0.8. Your forecast of the standard deviation of the rates of return is 0.25 for the mutual fund and 0.20 for the market portfolio. How would you combine the mutual fund and a riskless security to obtain a portfolio with a beta of 1.6?


书上的练习题，讲义里没有例题。。。第一次接触，很生触。。。  跪求高手解答！！