Question
Consider the following information: Portfolio Expected Return Beta Risk-free 6% 0 Market 10.8 1.0 A 8.8 1.7 Required: a. Calculate the return predicted by CAPM
Consider the following information:
| Portfolio | Expected Return | Beta |
|---|---|---|
| Risk-free | 6% | 0 |
| Market | 10.8 | 1.0 |
| A | 8.8 | 1.7 |
Required:
a. Calculate the return predicted by CAPM for a portfolio with a beta of 1.7
b. What is the alpha of portfolio A
c. If the simple CAPM is valid, is the situation above possible?
multiple choice
Yes
No
Step by Step Solution
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There are 3 Steps involved in it
Step: 1
a To calculate the return predicted by CAPM for a portfolio with a beta of 17 we can use the CAPM fo...
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Precalculus
Authors: Michael Sullivan
9th edition
321716835, 321716833, 978-0321716835
