Question
The expected return of the market portfolio is 10% and its standard deviation is 20%. The risk-free interest rate is 1%. A stock has an
The expected return of the market portfolio is 10% and its standard deviation is 20%. The risk-free interest rate is 1%. A stock has an expected return of 8% and volatility of 30%. The CAPM model holds. What is the stock's correlation with the market?
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
