Question
Under market equilibrium, the following is risk-and-return information of four securities in our stock market. (20%) Total Risk in Security (ith) Expected Return Market
Under market equilibrium, the following is risk-and-return information of four securities in our stock market. (20%) Total Risk in Security (ith) Expected Return Market Standard Firm-specific Risk in Beta Deviation (E[R]) () () A 7% 0 0.08 variance (0% 3,1) ? (a) B 19% 1.5 ? (b) 0.0036 C ? (cl) 0.8 ? (c2) 0.0081 15% ? (d) 0.12 0 Use CAPM and any related model to calculate (i) (ii) (iii) (iv) the risk-free interest rate (R), 7%. the expected return on market portfolio E[R], (5%. the total risk of market portfolio (M) and the FIVE missing values: (a), (b), (c1), (c2) and (d) in the above table. You MUST show your calculation steps clearly. 19%.= 7% +1.5(ECRM) -77.) ECRM) = 15% 10 / 10 < >
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