This is an exam question. I know that to find beta I need the covariance between the portfolio and asset A but don't know how to find it.
closed as off-topic by Helin, Bob Jansen♦ Apr 21 '18 at 20:00
This question appears to be off-topic. The users who voted to close gave this specific reason:
- "Basic financial questions are off-topic as they are assumed to be common knowledge for those studying or working in the field of quantitative finance." – Helin, Bob Jansen
Investor I: market portfolio is consisting of 75% of asset A and 25% of asset B, i.p $r_m=3/4r_a+1/4r_b$ $\Rightarrow $ cov($r_a,r_m$)$=$cov($r_a,3/4r_a+1/4r_b$)=$3/4V(r_a)$.
Investor J: market portfolio is consisting of 50% of asset A and 50% of asset B, i.p $r_m=1/2r_a+1/2r_b$ $\Rightarrow $ cov($r_a,r_m$)$=$cov($r_a,1/2r_a+1/2r_b$)=$1/2V(r_a)$.