Currently you own a portfolio comprised of the following three securities. How much of the riskiest security should you sell and replace with risk-free securities if you want your portfolio beta to equal 90 percent of the market beta?
Stock Value/Beta
A 16,400/1.06
B 20,500/1.32
C 18,200/0.98
I don't know how to set this problem up. To find the portfolio Beta, you have to muliply by the weights. But if take money from B to put in T-Bills, the weights change. Is this just a trial and error question?
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