Suppose the assumption behind that the CAPM hold. The risk free rate is 2% and the expected return market is 9% .The standard deviation of the market portfolio is 15% .AAPL has a beta of 1.4 and standard deviation of 35% .Suppose that the standard deviation of your optimal portfolio is 18% . What is its expected return?

Consider a portfolio that offers an expected rate of return of 10% and a standard deviation of 23%. T-bills offer a risk-free 5% rate of return. What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Consider the single factor APT. Portfolio A has a beta of 1.5 and an expected return of 20 %. Portfolio B has a beta of 0.7 and an expected return of 16%. The risk - free rate of return is 8%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio and a long position in portfolio

Haaha

If the beta of Asset A is 2.2, the risk free rate is 2.5%, and the expected return on Asset A is 8%, what is the expected return on the market (Note: you want to use CAPM)? Group of answer choices 7.28% 5.00% 8.00% 16.80%

Your portfolio has a beta of 1.73, a standard deviation of 29 percent, and an expected return of 11.4 percent. The market return is 10.9 percent and the risk-free rate is 2.2 percent. What is the Treynor ratio?

Consider a portfolio that offers an expected rate of return of 7% and a standard deviation of 26%. T-bills offer a risk-free 4% rate of return. What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills

the CAPM world, the average investor’s risk aversion parameter is 2 and the standard deviation of the market portfolio is 23%. The risk-free rate is 3.5%. What is the expected return on the market portfolio?

Consider a portfolio that offers an expected rate of return of 11% and a standard deviation of 26%. T-bills offer a risk-free 7% rate of return.   What is the maximum level of risk aversion for which the risky portfolio is still preferred to T-bills? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Suppose the risk-free return is 2% and the return on the market is 10%. The beta of a managed portfolio is 1.5, and the average realized return is 13%. According to the CAPM, Jensen’s alpha of the managed portfolio is: A) –1% B) 0% C) 1% D) 2% E) none of the above