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The returns for stock A and market portfolio are as follows: Year Stock A Return Market portfolio return 2006 11% 9% 2007 10% 2% 2008
The returns for stock A and market portfolio are as follows:
| Year | Stock A Return | Market portfolio return |
| 2006 | 11% | 9% |
| 2007 | 10% | 2% |
| 2008 | 3% | 1% |
Market risk premium is 5% and risk-free rate is 2%.
- (6 MARKS) What are the beta of your asset A?
- (5 MARKS) What is your stock As Jensens alpha? Is stock A under- or over-valued?
- (3 MARKS) What is the Sharpe ratio of the stock A?
- (2 MARKS) What is the Treynor measure of performance evaluation?
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Continuous Time Finance
Authors: Robert C. Merton
1st Edition
0631185089, 978-0631185086
