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A certain stock has a risk premium of 22%, a Sharpe ratio of 0.58, a correlation of 0.38 with the market, and a beta
A certain stock has a risk premium of 22%, a Sharpe ratio of 0.58, a correlation of 0.38 with the market, and a beta of 1.07. The risk free rate of interest is 2.7%. Assuming that CAPM holds, find the volatility of the market portfolio.
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To find the volatility of the market portfolio we can use the CAPM Capital Asset Pricing Model formu...
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
