Consider following information on a risky portfolio, risk-free asset and the market index. What is the M2 of the risky portfolio? Risky portfolio Risk-free asset Market index Average return 8.2% 2% 6% Std. Dev. 26% 20% Residual std. dev. 10% Alpha 1.4% Beta

Consider following information on a risky portfolio, risk-free asset and the market index. What is the M2 of the risky portfolio? Risky portfolio Risk-free asset Market index Average return 8.2% 2% 6% Std. Dev. 26% 20% Residual std. dev. 10% Alpha 1.4% Beta

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13QTD

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Question

Consider following information on a risky portfolio, risk-free asset and the market index.

What is the M² of the risky portfolio?

	Risky portfolio	Risk-free asset	Market index
Average return	8.2%	2%	6%
Std. Dev.	26%		20%
Residual std. dev.	10%
Alpha	1.4%
Beta

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