Question
If the simple CAPM is valid and all portfolios are priced correctly , which of the situations below are possible? Consider each situation independently and
If the simple CAPM is valid and all portfolios are priced correctly, which of the situations below are possible? Consider each situation independently and assume the risk free rate is 5%:
| Option (A) | Portfolio | Expected Return | Beta |
|
| Portfolio A | 18.0% | 1.2 |
|
| Market Portfolio | 18.0% | 1.2 |
| Option (B) | Portfolio | Expected Return | Beta |
|
| Portfolio A | 17.5% | 2.5 |
|
| Market Portfolio | 10.0% | 1.0 |
| Option (C) | Portfolio | Expected Return | Beta |
|
| Portfolio A | 27.0% | 1.0 |
|
| Market Portfolio | 15.0% | 1.0 |
| Option (D) | Portfolio | Expected Return | Standard Deviation |
|
| Portfolio A | 20.0% | 0.12 |
|
| Market Portfolio | 15.0% | 0.10 |
| Option (E) | Portfolio | Expected Return | Beta |
|
| Portfolio A | 18.0% | 1.2 |
|
| Market Portfolio | 18.0% | 1.0 |
A) Option A.
B) Option B.
C) Option C.
D) Option D.
E) Option E.
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Standards Of Value
Authors: Jay E. Fishman, Shannon P. Pratt, William J. Morrison
2nd Edition
1118138538, 978-1118138533
