homework 3 - each of the market returns shown in the table...

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BA 4346 homework, due Wed, June 24. 1. Use the capital market line to calculate expected return and standard deviation for a portfolio consisting of the M Fund, which has a return of 10% and standard deviation of 8%, and the risk-free rate (4%), with the following weights: a. 50% M, 50% Rf (lending portfolio) return= 7% stdev= .04% b. 150% M, -50% Rf (borrowing portfolio) Return= 13% Stdev= 12% c. 200% M, -100% Rf (borrowing portfolio) Return= 16% Stdev= 16% 2.Using the market model, calculate expected returns for Mark Corp., Chris Corp., and Rob Corp. for
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Unformatted text preview: each of the market returns shown in the table below. Market Returns alpha beta .05 .10 .15 .05 .10 Mark Corp. .01 .7 .045 .08 .115-.025-.06 Chris Corp. .05 1.1 .105 .16 .215-.005-.06 Rob Corp. .02 1.5 .055 .13 .205-.095-.17 3. Using CAPM, calculate expected portfolio returns for the following sets of risk-free rates, expected market returns, and portfolio betas. 0.8 0.9 8.80% 10.00% 11.20%...
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This note was uploaded on 08/06/2009 for the course BUSINESS 4444 taught by Professor Dr.dale during the Spring '09 term at University of Texas at Dallas, Richardson.

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homework 3 - each of the market returns shown in the table...

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