Suppose that the universe of available risky securities consists of a large number of stocks, identically distributed

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Suppose that the universe of available risky securities consists of a large number of stocks, identically distributed with E ( r ) 15%, 60%, and a common correlation coefficient of

.5.

a. What are the expected return and standard deviation of an equally weighted risky portfolio of 25 stocks?

b. What is the smallest number of stocks necessary to generate an efficient portfolio with a standard deviation equal to or smaller than 43%?

c. What is the systematic risk in this security universe?

d. If T-bills are available and yield 10%, what is the slope of the CAL?

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Investments

ISBN: 9780073530703

9th Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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Question Posted: Jul 31, 2024 04:01 AM

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Suppose that the universe of available risky securities consists of a large number of stocks, identically distributed

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Investments

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