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Given an expected return for the market of 9.5% with a standard deviation of 14% and a risk free rate of 5%, consider the initial
Given an expected return for the market of 9.5% with a standard deviation of 14% and a risk free rate of 5%, consider the initial investment of an investor of RM1,000,000 with the following data of his Shariah portfolio investment as in Table 1.
Table 1. A general portfolio investment
Stock | Allocation (RM) | Standard deviation % | Beta | Return % |
A | 200,000 | 7.0 | 0.8 | 6.5 |
B | 100,000 | 9.5 | 1.15 | 8.0 |
C | 200,000 | 5.0 | 0.6 | -5.9 |
D | 500,000 | 8.3 | 1.07 | 7.0 |
- Estimate the expected return of this portfolio.
- Simplify the standard deviation of this portfolio.
- Compute the risk-adjusted return for each stock employing the capital asset pricing model (CAPM).
could u pls answer the question as soon as possible
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