Question
You own a portfolio with 25% of the money invested in a stock with a beta of 0.80 and 75% of the money invested in
You own a portfolio with 25% of the money invested in a stock with a beta of 0.80 and 75% of the money invested in another stock with a beta of 1.60. Assume that the risk-free rate is 3% and that the expected return on the market is 10%. According to the Capital Asset Pricing Model, what is the expected return on your portfolio?
| A. | 9.0% | |
| B. | 9.8% | |
| C. | 12.8% | |
| D. | 13.2% | |
| E. | None of the above |
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Financial Modeling
Authors: Simon Benninga
4th Edition
0262027283, 9780262027281
