Question
Stock A has the expected return of 12%, the standard deviation of 15%, and the CAPM beta of 0.5. Stock B has the expected return
Stock A has the expected return of 12%, the standard deviation of 15%, and the CAPM beta of 0.5. Stock B has the expected return of 18%, the standard deviation of 20% and the CAPM beta of 1.1. The risk-free rate is 3%. If you have no other wealth could invest in some combination of the risk-free asset and only one of these two stocks, which of the stocks A and B will you choose and why?
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The Handbook Of Credit Portfolio Management
Authors: Greg Gregoriou, Christian Hoppe
1st Edition
0071598340, 978-0071598347
