I will have info on 2 portfolios and the market benchmark, and you will calculate the CAPM = Rf + B(Rm - Rf) , Sharpe Ratio, Alpha=Rp - CAPM Stock Stock Stock Description Portfolio Z Portfolio X Benchmarket Average Retun 15.00% 18.00% 9.00% Risk-Free Return 1.50% 1.50% 1.50% Standard Deviation 22.00% 33.00% 16.00% Beta 1.250 1.400 1.000 Output Risk Premium Retun Market Premium Capital Asset Pricing Model Sharpe Ratio Jensen's Alpha
I will have info on 2 portfolios and the market benchmark, and you will calculate the CAPM = Rf + B(Rm - Rf) , Sharpe Ratio, Alpha=Rp - CAPM Stock Stock Stock Description Portfolio Z Portfolio X Benchmarket Average Retun 15.00% 18.00% 9.00% Risk-Free Return 1.50% 1.50% 1.50% Standard Deviation 22.00% 33.00% 16.00% Beta 1.250 1.400 1.000 Output Risk Premium Retun Market Premium Capital Asset Pricing Model Sharpe Ratio Jensen's Alpha
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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![3. I will have info on 2 portfolios and the market benchmark, and you will calculate the CAPM = Rf
+ B(Rm – Rf) , Sharpe Ratio, Alpha=Rp - CAPM
Stock
Stock
Stock
Description
Portfolio Z Portfolio X Benchmarket
Average Retun
15.00%
18.00%
9.00%
Risk-Free Return
1.50%
1.50%
1.50%
Standard Deviation
22.00%
33.00%
16.00%
Beta
1.250
1.400
1.000
Output
Risk Premium Retun
Market Premium
Capital Asset Pricing Model
Sharpe Ratio
Jensen's Alpha](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F1f69deaa-f5dd-49a3-bd4d-91e2c92146ba%2F5c9fcb4e-f660-4035-84f5-ff429c9e6c0a%2F18vgc6s_processed.jpeg&w=3840&q=75)
Transcribed Image Text:3. I will have info on 2 portfolios and the market benchmark, and you will calculate the CAPM = Rf
+ B(Rm – Rf) , Sharpe Ratio, Alpha=Rp - CAPM
Stock
Stock
Stock
Description
Portfolio Z Portfolio X Benchmarket
Average Retun
15.00%
18.00%
9.00%
Risk-Free Return
1.50%
1.50%
1.50%
Standard Deviation
22.00%
33.00%
16.00%
Beta
1.250
1.400
1.000
Output
Risk Premium Retun
Market Premium
Capital Asset Pricing Model
Sharpe Ratio
Jensen's Alpha
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