Assume the CAPM holds. Investors are only allowed to invest in stock A and stock B (these
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Assume the CAPM holds. Investors are only allowed to invest in stock A and stock B (these two securities form the market portfolio). Each asset's weight in the market portfolio is simply its weight in the market portfolio. One investor invests $2,000 in stock A and $3,000 in stock B. Another investor has $5,000 invested in stock A. How much, has the second investor necessarily invested in stock B?
Related Book For
Quantitative Investment Analysis
ISBN: 978-1119104223
3rd edition
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
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