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If you manage a portfolio worth $100,000,000 and you choose to invest in only stock 1, 2, and 3. What is the maximum return of your portfolio if you...

If you manage a portfolio worth $100,000,000 and you choose to invest in only stock 1, 2, and 3.

What is the maximum return of your portfolio if you want to have the portfolio's beta equal to 1.1.

No short sales allowed.

Report the answer with 2 numbers after decimal place, say 10.25%

(Remember to run Solver 3 times to get the right answer.)






Table 1. Average Return and Beta


Stock 1 2 3 4 5

Average annual return 15% 8% 12% 50% 80%

Beta 1 1.2 2.5 3 3.5


Table 2. Portfolio A information


Stock 1 2 3

Top Answer

Stock 1 2 3 R 15.00% 8.00% 12.00% B... View the full answer

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