Question
UCLA HOMEWORK QUESTION 7 Using the expected returns, separately decompose the returns into their expected, systematic, and unsystematic components. You must compute two expected returns
UCLA HOMEWORK QUESTION 7
Using the expected returns, separately decompose the returns into their expected, systematic, and unsystematic components. You must compute two expected returns (the data-driven and CAPM), and have two decompositions.
| Year | Portfolio Return (%) | Market Return (%) |
| 1 | 11.58 | 16.25 |
| 2 | 6.21 | -3.21 |
| 3 | -2.63 | 3.92 |
| 4 | -11.69 | -19.64 |
| 5 | 9.87 | 6.87 |
| 6 | 12.23 | 11.11 |
| 7 | 21.69 | 16.97 |
| 8 | 17.01 | 18.67 |
| 9 | 5.04 | 12.6 |
| 10 | 2.97 | -2.67 |
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International Finance Discussion Papers Predictable Uncertainty In Economic Forecasting
Authors: United States Federal Reserve Board , Neil R. Ericsson
1st Edition
1288731493, 9781288731497
