Question
E(R A ) = 0.12 E(R B ) = 0.15 E(R M ) = 0.13 R F = 0.03 Std Dev(R A ) = 0.16
E(RA) = 0.12
E(RB) = 0.15
E(RM) = 0.13
RF = 0.03
Std Dev(RA) = 0.16
Std Dev(RB) = 0.22
Corr(RA,RB) = 0.6
A = 0.8
B = 1.1
A) What is the composition of the tangency portfolio formed between A and B?
B) What is the CAPM alpha of this tangency portfolio?
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International Financial Reporting Standards An Introduction
Authors: Belverd Needles, Marian Powers
2nd edition
053847680X, 978-1111793234, 1111793239, 978-0538476805
