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) A)
| Portfolio | Expected Return | Beta |
|---|---|---|
| A | 12% | 1.4 |
| Market | 12% | 1.0 |
B)
| Portfolio | Expected Return | Standard Deviation |
|---|---|---|
| A | 15% | 14% |
| Market | 10% | 22% |
C)
| Portfolio | Expected Return | Beta |
|---|---|---|
| A | 15% | 1.4 |
| Market | 10% | 1.0 |
D)
| Portfolio | Expected Return | Beta |
|---|---|---|
| A | 19.0% | 2.0 |
| Market | 12% | 1.0 |
| Portfolio | Expected Return | Beta |
|---|---|---|
| A | 12% | 1.4 |
| Market | 12% | 1.0 |
B)
| Portfolio | Expected Return | Standard Deviation |
|---|---|---|
| A | 15% | 14% |
| Market | 10% | 22% |
C)
| Portfolio | Expected Return | Beta |
|---|---|---|
| A | 15% | 1.4 |
| Market | 10% | 1.0 |
D)
| Portfolio | Expected Return | Beta |
|---|---|---|
| A | 19.0% | 2.0 |
| Market | 12% | 1.0 |
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Mathematical Control Theory And Finance
Authors: Andrey Sarychev, Albert Shiryaev, Manuel Guerra, Maria Do Rosário Grossinho
2008th Edition
3540695311, 978-3540695318
