Question 4 <> 3.8 CAPM: The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. 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%. 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. (please round answers to within one hundredth of a percent) (a) What percent of years does this portfolio lose money, i.e. have a return less than 0%? IS (b) What is the cutoff for the highest 15% of annual returns with this portfolio?
Question 4 <> 3.8 CAPM: The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. 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%. 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. (please round answers to within one hundredth of a percent) (a) What percent of years does this portfolio lose money, i.e. have a return less than 0%? IS (b) What is the cutoff for the highest 15% of annual returns with this portfolio?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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3.8 CAPM: The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio
are normally distributed. 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%. 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.
(please round answers to within one hundredth of a percent)
(a) What percent of years does this portfolio lose money, i.e. have a return less than 0%?
(b) What is the cutoff for the highest 15% of annual returns with this portfolio?
%
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