Sep 2008 Q3 (iii) (b)

Discussion in 'CT8' started by code9063, Sep 2, 2014.

  1. code9063

    code9063 Member

    Hi,

    In the answer for (b) it is said that Beta for each security, expected market return, and market variance are required to evaluate risk (I'm guessing it means variance) and expected return of a portfolio on N securities.

    I'm guessing I can use the security market line equation to calculated the expected return of the portfolio but how can we calculate the variance of the portfolio using those parameters?
     

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