# Question

Given that the correlation coefficient between all securities is the same, call it p*, and the assumption of the single-index model is accepted, derive an expression for the beta on any stock in terms of p*.

In Problem 5

In Problem 5

## Answer to relevant Questions

Complete the procedure in Appendix A for reducing a general three-index model to a three-index model with orthogonal indexes. Repeat Problem 6, assuming now that firms B and C are in the same industry. Problem 6 Using the data from Problem 5, assume the model is now an Industry Index Model where I1 = Im and that I2 is now an industry index. ...What is the optimum portfolio assuming short sales but no riskless lending and borrowing with p = 0.5 for all pairs of securities? Use the data in Problem 4. In Problem 4 If RL equals 10%, what is the preferred investment shown in Problem 1 using Kataoka’s safety-first criterion? In Problem 1 What is the standard deviation of return from the point of view of a U.S. and a Japanese investor?Post your question

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