Question
Suppose the market premium is 9%, the standard deviation of the market portfolio is 30% and the risk-free rate is 3%. Suppose a security has
Suppose the market premium is 9%, the standard deviation of the market portfolio is 30% and the risk-free rate is 3%.
Suppose a security has a beta of 0.6. According to the CAPM.
What is its expected return?
A security has a standard deviation of 60% and a correlation with the market portfolio of 0.2.
According to the CAPM, What is its expected return?
A security has a standard deviation of 80% and a correlation with the market portfolio of -0.25.
According to the CAPM, what is its expected return?
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Solution According to the Capital Asset Pricing Model CAPM the expected return of a security is give...
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Fundamentals of Financial Management
Authors: Eugene F. Brigham
Concise 9th Edition
1305635937, 1305635930, 978-1305635937
