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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Fixed Income Markets And Their Derivatives
Authors: Suresh Sundaresan
3rd Edition
0123850517, 978-0123704719
