Question
You are provided some data about the market: The expected return of the market portfolio is 12.6%, the market's volatility is 18.3%, and the risk-free
You are provided some data about the market: The expected return of the market portfolio is 12.6%, the market's volatility is 18.3%, and the risk-free rate is 1.4%. If the beta of LEVI is 1.11, according to the CAPM, LEVI should have some expected return. However, you think that LEVI has an expected return of 11.4%. What do you think is the alpha of LEVI?
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Options Futures And Other Derivatives
Authors: John C. Hull
11th Edition
013693997X, 9780136939979
