Assume that the CAPM is true, ?F = 5%, ?M = 15% ??? ?M = 0.1. An investor with $10,000 to invest builds a portfolio, Q, of T-bills and the market portfolio. This means that a.  it would be possible for the investor to obtain a return of 17% on portfolio Q. b.  if portfolio Q were composed of short-selling $2,000 in T-bills and the remainder is the market portfolio, then ρQM = 1, βQ = 1.2 and σQ = 0.12. c.  to obtain a return of 17% from portfolio Q the investor would need to invest $12,000 in the market portfolio. d.  all of the above are true. e.  only (a) and (b) above are true.

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
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Assume that the CAPM is true, ?F = 5%, ?M = 15% ??? ?M = 0.1. An investor with $10,000 to invest builds a portfolio, Q, of T-bills and the market portfolio. This means that

a.  it would be possible for the investor to obtain a return of 17% on portfolio Q.

b.  if portfolio Q were composed of short-selling $2,000 in T-bills and the remainder is the market portfolio, then ρQM = 1, βQ = 1.2 and σQ = 0.12.

c.  to obtain a return of 17% from portfolio Q the investor would need to invest $12,000 in the

market portfolio.

d.  all of the above are true.

e.  only (a) and (b) above are true.

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