Question
(3) Assume CAPM holds. Let the expected return and standard deviation of a risky security i be i = 0.12 and i = 0.25 respectively.
(3) Assume CAPM holds. Let the expected return and standard deviation of a risky security i be i = 0.12 and i = 0.25 respectively. The market portfolio M has the expected return M = 0.1 and standard deviation M = 0.15. The risk-free rate is r = 0.06. What proportion of the risk for security i is systematic risk?
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Cases In Financial Management
Authors: I.M. Pandey
3rd Edition
0071333428, 978-0071333429
