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Consider the capital asset pricing model (CAPM) with the following data: Risk free rate rf is 6%; Expected rate of return of the market portfolio
Consider the capital asset pricing model (CAPM) with the following data: Risk free rate rf is 6%; Expected rate of return of the market portfolio EUn) is 20%; The standard deviation of the return of the market portfolio Mis 15%. (Keep all answers to 4 decimal places, e.g. xxx.1234.) Consider asset i with iM-4.5%, -25% and the expected payoff E(Q)-$980 (a) What is the price of Asset i predicted by CAPM? (b) Assume that Asset i is sold at $760 per share. What is the value of the Sharpe index of asset i? Is the asset efficient? ('Y' for Yes, 'N' for No) What is the value of the Jensen index of asset
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