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choose which one ? 3.Assume CAPM holds. What is the correlation between an efficient portfolio and the market portfolio?a.1b.-1c.0d.Not enough information

Supposing the return from an investment has the following probability distribution   Return   Probability     R (%)   8                 0.2   10               0.2   12               0.5   14               0.1   Required: What is the expected return of the investment? What is the risk as measured by the standard deviation of  expected returns?

The CAPM states that the expected (required) return on an asset is : E(Ri)=Rf+βi[E(RM)−Rf] where the term in square brackets is the risk-premium earned by the market portfolio.  Therefore, the beta of the market portfolio (βM) must be equal to __________ . A) zero B) 0.5 C) 1.0 D) an unknown estimate

2. The following table gives information on the return and variance of assets A and B, whose covariance is 0.0003: A B 0} 0,0009 0,0012 E (R₂) 0,05 0,06 a. Does the portfolio (1/3 of A and 2/3 of B) dominate the portfolio (2/3 of A and 1/3 of B)? b. Does the portfolio (1/2, 1/2) belong to the efficient frontier? c. If there were the possibility of lending and borrowing at 2%, would the portfolio (1/2, 1/2) belong to the new efficient frontier?

T/F. The “Fear Index” is calculated using estimates of implied volatility. Group of answer choices True False

Consider the following securities: state Probability A B A B H M L 0.2 0.5 0.3 с 6 10 6 3 7 12 2 5 14 1. The expected payoff of A is: 2. The standard deviation of A is: 3. If the price of A is 3, its expected return is: 4. The covariance between A and B is: 5. The correlation coefficient between A and B is: 6. Is it possible to build a portfolio that has zero variance using A and C? YES/ NO

1. The return over the risk free rate of 3.4% A. Real return B. Average return C. Risk premium D. Required return E. Inflation premium

Refer to the graph below, what is the beta of portfolio X under CAPM? E(r) A 0.14 0.10 0.06 N Beta of portfolio X = place) M X o(r) (to the nearest 1 decimal

Given the following probability distribution, what is the standard deviation of returns for Security J? (Expresss your answer in percentage, but do not include the percent sign, %, i.e., 4.65) State Pi rJ 1 0.2 8 % 2 0.6 12    3 0.2 17