Question
If the simple CAPM is valid and all portfolios are priced correctly, which of the situations below is possible? Consider each situation independently, and assume
If the simple CAPM is valid and all portfolios are priced correctly, which of the situations below is possible? Consider each situation independently, and assume the risk-free rate is 5%.
A)
| Portfolio | Expected Return | Beta | ||||
| A |
| 18 | % |
| 0.9 |
|
| Market |
| 18 | % |
| 1.0 |
|
B)
| Portfolio | Expected Return | Standard Deviation | ||||
| A |
| 21 | % |
| 9 | % |
| Market |
| 16 | % |
| 17 | % |
C)
| Portfolio | Expected Return | Beta | ||||
| A |
| 21 | % |
| 0.9 |
|
| Market |
| 16 | % |
| 1.0 |
|
D)
| Portfolio | Expected Return | Beta | ||||
| A |
| 27.1 | % |
| 1.7 |
|
| Market |
| 18 | % |
| 1.0 |
|
Multiple Choice
Option A
Option B
Option C
Option D
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Bakers Health Care Finance Basic Tools For Nonfinancial Managers
Authors: Thomas K. Ross
6th Edition
1284233162, 978-1284233162
