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CAPM data: Market portfolio: Risk-free asset: Om = 0.2 E[RM]=18%, R, = 6% T-bills are also available. They are considered riskless and have a corresponding
CAPM data: Market portfolio: Risk-free asset: Om = 0.2 E[RM]=18%, R, = 6% T-bills are also available. They are considered riskless and have a corresponding rate of return. You have $20,000 to invest. a) What are Br-Bills, and 07-Bills? (1 mark) b) Consider Portfolio X comprised of T-Bills and a $25,000 investment in the market portfolio i) Find 0,- (1 mark) ii) Solve for Br. (1 marks) c) Determine the weights of T-Bills and the market portfolio that combined would create a portfolio X with an expected rate of return of 20%. (2 marks)
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