This is one of the key results of the Capital Asset Pricing Model(CAPM).

Suppose that the Johannesburg Stock exchange (JSE) is a market of risky assets, which consists only of all JSE listed companies. Suppose that the JSE has only 12 million investors. Assume that investor 1 has 5% of their portfolio of risky assets in Zebra Ltd shares. (Assume Zebra Ltd is a company listed on the JSE).

Required:

I.

What percentage of the portfolio of investor 9 is invested in Zebra Ltd.'s shares?

[1 mark]

II.

What percentage of the market portfolio is invested in Zebra Ltd's shares?

[1 mark]

III.

What percentage of the JSE market capitalization is in Zebra Ltd's shares?

[1mark]

IV.

What constitutes investor 37's portfolio of risky assets?

[1mark]

V.

In what proportions should every investor in the scenario hold shares on the JSE?.

[1mark]