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4. Consider the following information about the securities of three firms, the market portfolio, and the risk-free asset: Securities A B C D Market
4. Consider the following information about the securities of three firms, the market portfolio, and the risk-free asset: Securities A B C D Market Portfolio Risk-free asset Expected Return 9.416% 1.147% Beta 1.294 3.195 1.018 2.341 1 0 a. Based on the CAPM (Capital-Asset Pricing Model), what are the expected returns on the 4 stocks (A, B, C, D)? (8 points) b. If you invest 25.461% in the Market Portfolio, 11.284% in the Risk-free asset and 15.81375% each in the 4 stocks, what is the beta of your portfolio? (6 points)
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Corporate Finance
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan
12th edition
1259918947, 1260091908, 978-1259918940
