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Please comment the following statement 1) The expected return of zero beta security is zero; 2) According to CAPM, the higher the standard deviation, the
Please comment the following statement
1) The expected return of zero beta security is zero;
2) According to CAPM, the higher the standard deviation, the higher the expected return.
3) You could invest 20% on market portfolio and 80% on risk free asset to make the beta of your portfolio being 0.8
4) A security with positive standard deviation should have expected return greater than risk free rate. Otherwise nobody will hold it.
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