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Q15) CAPM Example Using the stock table below with CAPM regression statistics for stock ABC and XYZ, answer the following questions. Construct a portfolio consisting
Q15) CAPM Example Using the stock table below with CAPM regression statistics for stock ABC and XYZ, answer the following questions. Construct a portfolio consisting of 60% in Stock ABC and 40% in Stock XYZ. The expected market In-return is E(rm)=10% and market risk is SD=20%. The risk-free rate is rf=2%. Calculate the following: a) expected portfolio return, b) portfolio risk (stdev), c) a 90% C.I., and d) a 90% value at risk for this portfolio
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