The rates of return on two assets are as follows: Year A 15% 1 2 -5%...
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The rates of return on two assets are as follows: Year A 15% 1 2 -5% Correlation between A and B = -1 Probability of each year = 0.5 a) b) c) B -1% 30% Assuming the weightings of A and B are 0.5, determine the portfolio return and portfolio standard deviation. (10 marks) Security A's beta of 1.5. The risk-free rate is 0.04 and the market expected rate of return is 0.11. Calculate the required rate by using Capital Asset Pricing Model. (5 marks) assumed that the expected rate of return of Security A is 0.165. Calculate the alpha of Security A. Explain the usage of alpha for securities analysis. (5 marks) The rates of return on two assets are as follows: Year A 15% 1 2 -5% Correlation between A and B = -1 Probability of each year = 0.5 a) b) c) B -1% 30% Assuming the weightings of A and B are 0.5, determine the portfolio return and portfolio standard deviation. (10 marks) Security A's beta of 1.5. The risk-free rate is 0.04 and the market expected rate of return is 0.11. Calculate the required rate by using Capital Asset Pricing Model. (5 marks) assumed that the expected rate of return of Security A is 0.165. Calculate the alpha of Security A. Explain the usage of alpha for securities analysis. (5 marks)
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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