Question
In a perfect CAPM world, where all portfolios are priced correctly, which of the situations below is possible? Consider each situation independently, and assume the
In a perfect CAPM world, where 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 A has a beta of 1 and a 15% return, while the market portfolio has a beta of 1 and has an 11% return
b.
An individual stock has a higher Sharpe Ratio than the Market Portfolio
c.
Portfolio A has a standard deviation of 20% and an expected return of 12%, while the market portfolio has a standard deviation of 30% and an expected return of 14%.
d.
Portfolio A has a Beta of 2 and Portfolio B has a Beta of 3.
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Management and Cost Accounting
Authors: Colin Drury
8th edition
978-1408041802, 1408041804, 978-1408048566, 1408048566, 978-1408093887
