Question
The expected rate of return on stock XYZ is 14%, while the expected return of the market portfolio is 11%. The risk-free rate is 5%.
The expected rate of return on stock XYZ is 14%, while the expected return of the market portfolio is 11%. The risk-free rate is 5%. The volatility of XYZ is 20%, and the volatility of the market portfolio is 10%.
a. What are the M2 measures for XYZ and the market portfolio?
b. Suppose the alpha for stock XYZ is 3%. What is the Treynor measure for stockXYZ?
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International Finance The Markets And Financial Management Of Multinational Business
Authors: Maurice D. Levi
3rd Edition
0070376875, 978-0070376878
