Assume that investors hold a portfolio of an individual risky asset and riskless asset f . Starting
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Assume that investors hold a portfolio of an individual risky asset and riskless asset f . Starting with the expected return of this combination and its standard deviation, derive the slope of the efficient frontier and then set this slope equal to the slope of the efficient frontier at market portfolio M. Rearranging terms, write the equation for the CAPM in more general form as well its more common simplified form.
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Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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