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A portfolio manager is a strong believer in the CAPM. Her portfolio currently exhibits a mean return of 7%, a standard deviation of returns of
- A portfolio manager is a strong believer in the CAPM. Her portfolio currently exhibits a mean return of 7%, a standard deviation of returns of 18% and a beta of 1.14. Which of the following stocks would she add to her portfolio?
| stock | standard deviation | beta | expected return |
| A | 12% | 1.2 | 7% |
| B | 9% | 1.12 | 6.90% |
| C | 16% | 1.4 | 8% |
| D | 20% | 1.05 | 7.20% |
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Financial Modeling
Authors: Simon Benninga, Tal Mofkadi
5th Edition
0262046423, 9780253337825
