Write an expression for the covariance of fBTC with the market, in terms of the variance a) of fBTC, the variance of fother, and the covariance of fBTc with fother. b) ĪBTC, the variance of fother, and the covariance of fBTc with rother. Write an expression for the variance of the market portfolio, in terms of the variance of c) CAPM holds, what is the expected return on bitcoin, E [TBTC!? Assume that the risk-free rate is 3%. The standard deviation of fBTC is 25% and the standard deviation of fother is 12%. If the
Write an expression for the covariance of fBTC with the market, in terms of the variance a) of fBTC, the variance of fother, and the covariance of fBTc with fother. b) ĪBTC, the variance of fother, and the covariance of fBTc with rother. Write an expression for the variance of the market portfolio, in terms of the variance of c) CAPM holds, what is the expected return on bitcoin, E [TBTC!? Assume that the risk-free rate is 3%. The standard deviation of fBTC is 25% and the standard deviation of fother is 12%. If the
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
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Problem 1P
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![The year is 208o. The market portfolio has an expected return of 12%, and a standard deviation
of returns of 20%. Bitcoin, with return řBTC, is now 70% of the market by market capitalization. That is, in
the market portfolio, wBtC =
constitute 30% of the market, by market capitalization.
0.7. Let's call the other components of the market collectively fother: They
Write an expression for the covariance of fBTC with the market, in terms of the variance
a)
of řBTC, the variance of řother, and the covariance of řBTC with rother·
b)
ĪBTC, the variance of fother, and the covariance of fBTC Wwith fother.
Write an expression for the variance of the market portfolio, in terms of the variance of
c)
CAPM holds, what is the expected return on bitcoin, E [ĩBTCl? Assume that the risk-free rate is 3%.
The standard deviation of řBTC is 25% and the standard deviation of ĩother is 12%. If the](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fe35d795b-3b3a-45a5-a595-ba94ec33b836%2F5a1584a0-812b-44f0-8ff5-98c08ddf17ff%2F1d7r494_processed.jpeg&w=3840&q=75)
Transcribed Image Text:The year is 208o. The market portfolio has an expected return of 12%, and a standard deviation
of returns of 20%. Bitcoin, with return řBTC, is now 70% of the market by market capitalization. That is, in
the market portfolio, wBtC =
constitute 30% of the market, by market capitalization.
0.7. Let's call the other components of the market collectively fother: They
Write an expression for the covariance of fBTC with the market, in terms of the variance
a)
of řBTC, the variance of řother, and the covariance of řBTC with rother·
b)
ĪBTC, the variance of fother, and the covariance of fBTC Wwith fother.
Write an expression for the variance of the market portfolio, in terms of the variance of
c)
CAPM holds, what is the expected return on bitcoin, E [ĩBTCl? Assume that the risk-free rate is 3%.
The standard deviation of řBTC is 25% and the standard deviation of ĩother is 12%. If the
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