Question
Suppose you hold a portfolio that consists of 35% Microsoft stock, 35% Treasury bills,and 30% GE stock. Microsoft's beta is 1 and GE's beta is
Suppose you hold a portfolio that consists of 35% Microsoft stock, 35% Treasury bills,and 30% GE stock. Microsoft's beta is 1 and GE's beta is 0.5. Treasury bills (the risk-free asset) offer a return of 4% and the expected return on the market is 11.5%.According to the CAPM, what return should you expect on your portfolio?
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Business Intelligence A Managerial Perspective on Analytics
Authors: Ramesh Sharda, Dursun Delen, Efraim Turban
3rd edition
133051056, 978-0133051056
