Financial Management: Theory & Practice
Financial Management: Theory & Practice
16th Edition
ISBN: 9781337909730
Author: Brigham
Publisher: Cengage
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Chapter 26, Problem 6P
Summary Introduction

Calculate the value of option using Black Scholes model.

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A project has an assigned beta of 1.24, the risk-free rate is 3.8%, and the market rate of return is 9.2%. What is the project's expected rate of return? A. 15.21% B. 11.41% C. 10.50% D. 14.61%
Question 5. You can invest in two risky assets, rị and r, and one risk-free asset, rf . The two risky assets are uncorrelated, and values are E[r] = 8%, E[r2] = 6%, Var[r] = 10%,Var[r2] = 3%, and rf = 3% If you have a mean-variance optimizer with a risk aversion A = 2, what is the optimal portfolio?
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