Question
Assume that the average market price of risk in the U.S. is 1.48, the standard deviation of S&P 500 (i.e., market portfolio) is 0.2, the
Assume that the average market price of risk in the U.S. is 1.48, the standard deviation of S&P 500 (i.e., market portfolio) is 0.2, the risk-free rate is 0.05, what should be the expected return of S&P 500?
Round your answer to 4 decimal places. For example, if your answer is 3.205%, then please write down 0.0321.
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Financial Management Core Concepts
Authors: Raymond Brooks
3rd Edition
0133866742, 9780133866742
