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 | 14% | 1.4 |
| Market | 14% | 1.0 |
B)
| Portfolio | Expected Return | Standard Deviation |
|---|---|---|
| A | 17% | 14% |
| Market | 12% | 22% |
C)
| Portfolio | Expected Return | Beta |
|---|---|---|
| A | 17% | 1.4 |
| Market | 12% | 1.0 |
D)
| Portfolio | Expected Return | Beta |
|---|---|---|
| A | 21.2% | 1.8 |
| Market | 14% | 1.0 |
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Quantitative Financial Analytics The Path To Investment Profits
Authors: Edward E Williams, John A Dobelman
1st Edition
9813224258, 978-9813224254
