**Unformatted text preview: **on the assumption that this alpha and beta will remain constant over the next year, you will be asked how to form a market-neutral tracking portfolio to capture the alpha. Question #4 : I will provide you with the returns for a portfolio and the S&P 500 (the market) along with the risk-free rate. You will need to calculate the arithmetic mean return for the stock, the geometric mean, the standard deviation and the beta. You will then need to calculate the risk-adjusted performance of the portfolio using several risk-adjusted performance measures. Question #5 : You will be asked some questions about the major assumptions of the CAPM, its conclusions, strengths, weaknesses, and various components. You will be asked to discuss (in general) the differences between a multi-factor asset pricing model and a single factor model. You will be asked some specific questions about the multi-factor model known as the Fama-French Three Factor Model....

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- Spring '08
- Hansen
- Finance, Capital Asset Pricing Model, Valuation, risk-free rate, market risk premium, MVE