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Asset expected return standard deviation beta residual variance 1 0.13 A 2 0.49 2 0.05 B 0 0.36 3 C 0.15 1 0 4 0.08
| Asset | expected return | standard deviation | beta | residual variance |
| 1 | 0.13 | A | 2 | 0.49 |
| 2 | 0.05 | B | 0 | 0.36 |
| 3 | C | 0.15 | 1 | 0 |
| 4 | 0.08 | 0.113 | D | 0 |
suppose that the relevant equilibrium model is the CAPM with unlimited borrowing and lending at a riskless rate of interest, find A B C D in the table.
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Handbook Of Short Selling
Authors: Greg N. Gregoriou
1st Edition
0123877245, 978-0123877246
