Question

2 points) Portfolio returns. The Capital Asset Pricing Model is a financial model that assumes returns on a portfolio are nor
0 0
Add a comment Improve this question Transcribed image text
Answer #1

- X-13.5 9. u=13.5%, 5= 33% , Z = x - * cohere x: Annual return of randomly selected you @ PCX<o)Plzc051805.)P(z<-0.41) = 34.

Add a comment
Know the answer?
Add Answer to:
2 points) Portfolio returns. The Capital Asset Pricing Model is a financial model that assumes returns...
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for? Ask your own homework help question. Our experts will answer your question WITHIN MINUTES for Free.
Similar Homework Help Questions
  • Portfolio returns. The Capital Asset Pricing Model is a financial model that assumes returns on a...

    Portfolio returns. The Capital Asset Pricing Model is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 10.9% (i.e. an average gain of 10.9%) with a standard deviation of 24%. A return of 0% means the value of the portfolio doesn't change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. Round all answers to 4 decimal places....

  • Portfolio returns. The Capital Asset Pricing Model is a financial model that assumes returns on a...

    Portfolio returns. The Capital Asset Pricing Model is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 16.5% (i.e. an average gain of 16.5%) with a standard deviation of 32%. A return of 0% means the value of the portfolio doesn't change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. Round all answers to 4 decimal places....

  • Capital Asset Pricing Model The Capital Asset Pricing Model is a financial model that assumes returns...

    Capital Asset Pricing Model The Capital Asset Pricing Model is a financial model that assumes returns on a portfolio are normally distributed. A return of 0% means the value of the portfolio doesn't change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. Suppose a portfolio has an average annual return of 14.7% (i.e. an average gain of 14.7%) with a standard deviation of 33%. Select the most apropriate answer...

  • Question 3. Capital asset pricing model. (2 points) The expected return on the market portfolio is...

    Question 3. Capital asset pricing model. (2 points) The expected return on the market portfolio is 9%. The risk free rate is 5%. The variance of the market portfolio returns is 0.08 and the covariance of the market and GE returns is 0.06. Calculate beta for GE. a) Interpret what beta means. b) Calculate the expected return for GE stock, how is it compared to the expected return on the market portfolio? c) If you form a portfolio with 75%...

  • Question 3. Capital asset pricing model. (2 points) The expected return on the market portfolio is...

    Question 3. Capital asset pricing model. (2 points) The expected return on the market portfolio is 9%. The risk free rate is 5%. The variance of the market portfolio returns is 0.08 and the covariance of the market and GE returns is 0.06. a) Calculate beta for GE. Interpret what beta means. b) Calculate the expected return for GE stock, how is it compared to the expected return on the market portfolio? c) If you form a portfolio with 75%...

  • 9. The Capital Asset Pricing Model and the security market line Keith holds a portfolio that...

    9. The Capital Asset Pricing Model and the security market line Keith holds a portfolio that is invested equally in three stocks (WD = WA = WI = 1/3). Each stock is described in the following table: Stock Beta Standard Deviation Expected Return DET 0.7 25% 8.0% AIL 1.0 38% 10.0% INO 1.6 13.5% 34% An analyst has used market- and firm-specific information to make expected return estimates for each stock. The analyst's expected return estimates may or may not...

  • Pinulo retums? 1 0 capital asset pricing model given historical data 2. Consider Table 1. (%)...

    Pinulo retums? 1 0 capital asset pricing model given historical data 2. Consider Table 1. (%) 3.77 Table 1 Summary Statistics Alpha, Beta, Expected Return and Variance a/c to the Stocks Sample Single Index Model Covariance Residual and Return Alpha Beta with Market Expected Variance Variance Market (%) (%) Return (%) (%) 3.60 3.59 4.80 Market 4.20 0.00 8.70 (a) Consider Table 1. Using the single index model, calculate beta and alpha for stocks 1 and 2. Interpret your findings....

  • Question 4 [3 points) Suppose that the Capital Asset Pricing Model (CAPM) holds. The market portfolio...

    Question 4 [3 points) Suppose that the Capital Asset Pricing Model (CAPM) holds. The market portfolio has an expected return of 9% and a standard deviation of 16%. Stock AAA has an expected return of 12%, a beta of 1.4, and a standard deviation of 28%. a. What is the risk-free rate? [1 point] b. What is the alpha of stock AAA? [1 point) c. What proportion of the total risk of stock AAA is idiosyncratic? [1 point]

  • Consider the equation for the Capital Asset Pricing Model (CAPM): îi = rrF + (îm-PRE) *...

    Consider the equation for the Capital Asset Pricing Model (CAPM): îi = rrF + (îm-PRE) * Cov(ļi, "M) 02M In this equation, the term Cov (ri, rm)lo?m represents the A) Covariance between stock i and the market B) stock's beta coefficient C) variants of markets return Suppose that the market's average excess return on stocks is 6.00% and that the risk-free rate is 2.00%. Complete the following table by computing expected returns to stocks for each beta coefficient using the...

  • Question 2 (30 points) 2.1 (12 points) State the assumptions of the Capital Asset Pricing Model...

    Question 2 (30 points) 2.1 (12 points) State the assumptions of the Capital Asset Pricing Model (CAPM). Explain and, where relevant, demonstrate on a graph the following concepts: (a) Capital Market Equilibrium in CAPM (b) Capital Market Line (c) Expected return for an arbitrary asset j: E(r;) = PRE + B,(E(TM) - PRF). Contrast this with the expected return on an efficient portfolio (d) Systematic and idiosyncratic risk

ADVERTISEMENT
Free Homework Help App
Download From Google Play
Scan Your Homework
to Get Instant Free Answers
Need Online Homework Help?
Ask a Question
Get Answers For Free
Most questions answered within 3 hours.
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT