Answer to Question #295760 in Financial Math for james

Question

Security               Weight      Alpha      Beta   Residual variance

                               W_i                                     

   A                        0.2           2.0          1.7             370

   B                        0.1           3.5           0.5            240

   C                        0.4           1.5           0.7            410

   D                        0.3           0.75         1.3            285

Portfolio value       1.0          1.575       1.06         108.45

       i.           Portfolio alpha,                                                                                                     

     ii.           Portfolio beta                                                                                                          

   iii.           Portfolio residual variance