Question
The market index has average return 8% and standard deviation 25%. The risk-free rate is 3%. A portfolio 'A' has beta 0.9, idiosyncratic variance
The market index has average return 8% and standard deviation 25%. The risk-free rate is 3%. A portfolio 'A' has beta 0.9, idiosyncratic variance of 0.05, and an M-measure of 0.02. What is the average return on the portfolio?
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Principles of Finance
Authors: Scott Besley, Eugene F. Brigham
6th edition
9781305178045, 1285429648, 1305178041, 978-1285429649
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