Question
Consider the following statements. Statement I. If the CAPM is valid, the following situation is not possible. Portfolio Expected return % Beta A 10 1.25
Consider the following statements.
Statement I. If the CAPM is valid, the following situation is not possible.
| Portfolio | Expected return % | Beta |
|---|---|---|
| A | 10 | 1.25 |
| B | 15 | 1.50 |
Statement II. If the CAPM is valid, the following situation is possible.
| Asset | Expected return % | Beta |
|---|---|---|
| Risk-free | 5 | 0.00 |
| Market Portfolio | 15 | 1.00 |
| Portfolio A | 20 | 1.75 |
Statement III. If the CAPM is valid, the following situation is possible.
| Asset | Expected return % | Standard deviation of return % |
|---|---|---|
| Risk-free | 5 | 0 |
| Market portfolio | 15 | 20 |
| Portfolio B | 20 | 25 |
Which of the following is correct?
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Healthcare Finance Modern Financial Analysis For Accelerating Biomedical Innovation
Authors: Andrew W. Lo, Shomesh E. Chaudhuri
1st Edition
0691183821, 978-0691183824
