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Unformatted text preview: 2. The expected market risk premium is E(R M-R f ) = 9%. The variance of the market is 0.0484. Assume that the CAPM holds. Suppose that an efficient portfolio P has a standard deviation P = 30%, and a correlation with the market portfolio of 0.55. Compute the beta and the expected risk premium of portfolio P. 3. Assume that the CAPM holds. a) Is this situation possible under the CAPM: b) Is this situation possible under the CAPM:...
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This note was uploaded on 02/06/2012 for the course MGMT 411 taught by Professor Clarke during the Spring '09 term at Purdue University-West Lafayette.
- Spring '09