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Consider the single factor CAPM and the following two portfolios' and risk-free asset's expected returns and betas: Assets E(r) Beta Risk-free Asset 2% 0
Consider the single factor CAPM and the following two portfolios' and risk-free asset's expected returns and betas: Assets E(r) Beta Risk-free Asset 2% 0 16% 1.2 Portfolio-X Portfolio-Y 6% 0.4 What are the alphas for portfolio-X and -Y, respectively? X:4.4%; Y:5.56% X: 11.60%; Y:5.20% X:4.4%; Y:0.80% OX:11.67%; Y:15.56%
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Public Finance and Public Policy
Authors: Jonathan Gruber
4th edition
1429278455, 978-1429278454
