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Following are the details of a portfolio consisting of three shares:

Share Portfolio weight Beta Expected return in % Total variance

A 0.20 0.40 14 0.015

B 0.50 0.50 15 0.025

C 0.30 1.10 21 0.100

 Standard Deviation of Market Portfolio Returns = 10%

 You are given the following additional data:

 Covariance (A, B) = 0.030

 Covariance (A, C) = 0.020

 Covariance (B, C) = 0.040

 Calculate the following:

i. The Portfolio Beta

ii. Residual variance of each of the three shares

iii. Portfolio variance using Sharpe Index Model

 Portfolio variance (on t e basis of modern portfolio theory given by Markowitz)

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