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a) the expected return and standard deviation on this portfolio. b) the expected return on the market using portfolio beta if R-5%.

a) the expected return and standard deviation on this portfolio. b) the expected return on the market using portfolio beta if R-5%.

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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NO2.6 A small market consists of three stocks, A, B, and C. and their financial data and projection are presented below. Assume CAPM holds.

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Stock Number of shares Stock Price Beta А 750 33 1.2 В 220 51 0.8 460 19 1.4 Economic condition Probability A В C Вoom 20% 20% 22% 23% Normal 50% 15% 10% 12% Recession 30% 2% 5% 7% Find: a) the expected return and standard deviation on this portfolio. b) the expected return on the market using portfolio beta if R-5%.
Transcribed Image Text:Stock Number of shares Stock Price Beta А 750 33 1.2 В 220 51 0.8 460 19 1.4 Economic condition Probability A В C Вoom 20% 20% 22% 23% Normal 50% 15% 10% 12% Recession 30% 2% 5% 7% Find: a) the expected return and standard deviation on this portfolio. b) the expected return on the market using portfolio beta if R-5%.
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