For the above question,
We know, z,m = Cov (Rz, Rm) / (0.02)(0.57) Cov (Rz, Rm) = 0.03192
Also, z = Cov (R z , R m ) / 2m = 0.03192 / 0.0121 (Had Put the value) = 2.6380
Thus, Expected rate of return on portfolio Z :-
= 6.3% + 2.6380*( 14.8% - 6.3% ) = 2.87%
[ Note : Expected rate of return = Risk free rate + beta*(market return rate - risk free rate) ]
Corporate Finance (15 points) Suppose the risk-free rate is 6.3% and the market portfolio has an...
has expected of (15 points) Suppose the risk-free rate is 6.3% and the market portfolio return of 14.8%. The market portfolio has a variance of 0.0121. Portfolio Z has a correlation coefficient with the market of 0.45 and a variance of 0.0169. According to CAPM, what is the expected rate of return on portfolio Z? 4" an rate
4" (15 points) Suppose the risk-free rate is 6.3% and the market portfolio has an expected rate of return of 14.8%. The market portfolio has a variance of 0.0121. Portfolio Z has a correlation coefficient with the market of 0.45 and a variance of 0.0169. According to CAPM, what is the expected rate of return on portfolio Z?
Suppose the risk-free rate is 4.3 percent and the market portfolio has an expected return of 11 percent. The market portfolio has a variance of .0392. Portfolio Z has a correlation coefficient with the market of .29 and a variance of .3295 According to the capital asset pricing model, what is the expected return on Portfolio Z? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16
3. Expected return and CAPM Suppose the risk-free rate is 4% and the market portfolio and stock j have the following return distributions: Probability in tot Market return -.15 .05 .15 .20 Return for i --30 .00 .20 .50 a. Find the expected market return, Im. b. Find the variance of the market return, c. Find the expected return for stock j, r;. d. Find the covariance of j and the market, Oim. e. What is J's beta?
3. Expected return and CAPM Suppose the risk-free rate is 4% and the market portfolio and stock j have the following return distributions: Probability in tot Market return -.15 .05 .15 .20 Return for i --30 .00 .20 .50 a. Find the expected market return, Im. b. Find the variance of the market return, c. Find the expected return for stock j, r;. d. Find the covariance of j and the market, Oim. e. What is J's beta?
The market portfolio has expected return of 12% and risk of 18%. The risk free rate is 3%. According to CML, if you want to achieve 15% return, how much risk does your portfolio has to have?
Assume that the risk-free rate is 9% and that the market portfolio has an expected return of 17%. Under equilibrium conditions as described by the CAPM, what would be the expected return for a portfolio having no diversifiable risk and a beta of 0.75?
Suppose that the risk-free interest rate is 4% per year, and the expected return on the market portfolio is 10% per year. The standard deviation of the return on the market portfolio is 24% per year. A consumer products company, ACC Corp, has a standard deviation of return of 45% per year, and a correlation with the market of 0.28 a) What is ACC’s beta? b) If the CAPM holds, what is ACC’s required rate of return on equity?
A portfolio that combines the risk-free asset and the market portfolio has an expected return of 9 percent and a standard deviation of 16 percent. The risk-free rate is 4.1 percent and the expected return on the market portfolio is 11 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .38 correlation with the market portfolio and a standard deviation of 60 percent?
Suppose the rate of return on short-term government securities (perceived to be risk-free) is 2%. Suppose also that the expected rate of return required by the market for a portfolio with a beta of 1 is 16%. According to the CAPM: a. What is the expected rate of return on the market portfolio? b. What would be the expected rate of return on a stock with β = 0?