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You have the following information: Security Expected Return Standard Deviation Beta A 17% 30% 1.375 B 11% 20% 1.000 Market portfolio 12% 18% Risk-free Asset
You have the following information:
| Security | Expected Return | Standard Deviation | Beta |
| A | 17% | 30% | 1.375 |
| B | 11% | 20% | 1.000 |
| Market portfolio | 12% | 18% | |
| Risk-free Asset | 3% |
- Given the CAPM, are both A and B attractive investment options? Explain.
- What is the portfolio expected return, portfolio standard deviation and the portfolio beta if you invest 80% in A and 20% in the risk-free asset?
Please show your work.
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Financial Markets And Institutions
Authors: Jeff Madura
5th Edition
0324027443, 9780324027440
