11. There are two independent factors in the economy, F1 and F2, and the betas for Portfolio X on these factors are B1.PK 2. For Portfolio Y, the betas are Pyp 2.By1. The expected returns of X and Y are 6.5% and 7% respectively. If the risk-free rate is 3%, what is the expected return of Portfolio Z that has betas AJ 5% B)7% C99% D) None of the above 12. Compared to every other point in the investment universe, any point on the Capital Market Line has A) the least number of portfolio constituent assets B) the highest return D) None of the abovwe C) the highest Sharpe Ratio 13. According to the CAPM, which of the following is NOT a true statement regarding the market portfolio. A All securities in the market portfolio are held in proportion to their market values B. It includes all risky assets in the economy. C. It is always the minimum-variance portfolio on the efficient frontier. D. It lies on the efficient frontier 14. The characteristics of two stocks traded in the economy are as follows: Stock A, expected returns 13%, standard deviation-60%; Stock B, expected returne8%, standard deviation-40%. Correlation between A and B is-1. If the market risk premium is 4%, what is the expected return for a portfolio with a beta of 15 in a CAPM universe? (a) 16% (b) 15% (c) 14% (d) None of the above 15. Consider the single factor APT. Portfolio A has a beta of 0.2 and a forecasted return of 12%. Portfolio B has a beta of 0.4 and a forecasted return of 15%. A risk-free portfolio's rate of return is 10%. If you wanted to take advantage of the arbitrage opportunity in this economy, you should take a short position in portfolioand a long position in portfolio (a) A, A (b) A, B (c) B, A (d) B, B 16. Two assets have a correlation of-1 and .-10%, B-20%, E(%) 5%, E(r)-1796. What is the treasury rate in the economy? (a) 8% (b) 9% (c) 10% (d) None of the above 17. According to the capital asset pricing model, fairly priced securities have (a) negative betas (b) positive alphas (c) positive betas(dj zero alphas 18. In CAPM, the market factor portfolio (a) lies on the CML (b) lies on the efficient frontier (e) is on the highest feasible CAL (All of the above 19. Hindelberg Corp. has a beta of 2 and standard deviation of 25%. The market portfolio has a standard devia of 10%. what ratio of Hinde!berg's total risk is due to market risk? A)16% (B) 32% (C) 48% (D) None of the above 20. If an asset is underpriced compared to CAPM prices, after the arbitrage trade involving the asset, its actua forecasted return A) Increases (8) Decreases(C) Depen ds, could increase or decrease (D) None of the abow