Question
Portfolio Actual return Standard deviation Beta X 10.2% 12% 1.2 Y 8.8% 9.9% 0.8 Additionally, the risk premium for the market portfolio is 5% and
Portfolio Actual return Standard deviation Beta
X 10.2% 12% 1.2
Y 8.8% 9.9% 0.8
Additionally, the risk premium for the market portfolio is 5% and the risk-free rate is 4.5%.
Required:
a. For both Portfolio X and Y, calculated the expected returns using the CAPM.
b. Evaluate the performances of Portfolio X and Y using your answers from Part a and the information given in the table above.
(PLEASE ANSWER BOTH A AND B)
Step by Step Solution
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There are 3 Steps involved in it
Step: 1
a To calculate the expected returns using the Capital Asset Pricing Model CAPM we use the following ...
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Step: 2
Step: 3
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
10th Edition
538482109, 1133711774, 538482389, 9780538482103, 9781133711773, 978-0538482387
