Beta and CAPM Suppose the risk-free rate is 6.3 percent and the market portfolio has an expected

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Beta and CAPM Suppose the risk-free rate is 6.3 percent and the market portfolio has an expected return of 14.8 percent. The market portfolio has a variance of .0498. Portfolio Z has a correlation coefficient with the market of .45 and a variance of .1783. According to the capital asset pricing model, what is the expected return on portfolio Z? LO.1

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Corporate Finance

ISBN: 9780073105901

8th Edition

Authors: Jeffrey Jaffe, Bradford D Jordan

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