Question
Based on CAPM and given the following, should a rational investor expect a higher return from Portfolio A than from Portfolio B in a fully
Based on CAPM and given the following, should a rational investor expect a higher return from Portfolio A than from Portfolio B in a fully diversified portfolio?
Portfolio A Portfolio B
Beta 1.2 1.2
Individual Investment Risk Low Medium
b) What if portfolio A includes publicly traded real estate but portfolio B does not but the Betas are nonetheless the same?
c) What other information about the returns of these two portfolios could alter your answer to this question?
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Computational Finance Using C And C #
Authors: George Levy DPhil University Of Oxford
1st Edition
0750669195, 978-0750669191
