Question
Consider the following information: Portfolio Expected Return Beta Risk-free 6 % 0 Market 10.8 1.0 A 8.8 1.7 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 | |
a. Calculate the return predicted by CAPM for a portfolio with a beta of 1.7. (Round your answer to 2 decimal places.)
b. What is the alpha of portfolio A. (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.)
c. If the simple CAPM is valid, is the situation above possible?
multiple choice
-
Yes
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Finance Applications And Theory
Authors: Marcia Cornett, Troy Adair, John Nofsinger
1st Edition
0073382256, 9780073382258
