The table below contains the covariance matrix of stock returns and the market. Assume that the assumptions of CAPM hold. Market BlueChip YellowChip BlackChip WhiteChip Market 0.0413 0.081 0.049 0.0742 0.047 0.0742 0.0614 0.156 0.0996 0.0919 0.1031 BlueChip 0.081 0.2467 YellowChip 0.049 0.0742 BlackChip 0.0742 0.156 WhiteChip 0.047 0.0614 0.1441 0.0882 0.0919 0.1031 0.0882 0.1086 1. Find the market risk. ● 2. Find the systematic risk of BlueChip. 4
The table below contains the covariance matrix of stock returns and the market. Assume that the assumptions of CAPM hold. Market BlueChip YellowChip BlackChip WhiteChip Market 0.0413 0.081 0.049 0.0742 0.047 0.0742 0.0614 0.156 0.0996 0.0919 0.1031 BlueChip 0.081 0.2467 YellowChip 0.049 0.0742 BlackChip 0.0742 0.156 WhiteChip 0.047 0.0614 0.1441 0.0882 0.0919 0.1031 0.0882 0.1086 1. Find the market risk. ● 2. Find the systematic risk of BlueChip. 4
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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The table below contains the covariance matrix of stock returns and the market. Assume that the assumptions of CAPM hold.
1. Find the market risk.
2. Find the systematic risk of BlueChip.
Transcribed Image Text:The table below contains the covariance matrix of stock returns and the market. Assume that the assumptions of CAPM hold.
Market BlueChip YellowChip BlackChip WhiteChip
0.047
0.0614
Market 0.0413 0.081
BlueChip 0.081 0.2467
YellowChip 0.049 0.0742
BlackChip 0.0742 0.156
WhiteChip 0.047 0.0614
0.049 0.0742
0.0742 0.156
0.0996 0.0919
0.0919 0.1441
0.1031 0.0882
0.1031
0.0882
0.1086
1. Find the market risk.
2. Find the systematic risk of BlueChip.
+
Answer format: 123.12; For a percent value of 12.34% enter 12.34 (without the percent sign); Negative values should be entered with the minus sign. When given a
choice, pick the result that is correct up to rounding error. "None of the Above" is just as likely to be the correct answer as the others.
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