Consider a financial world in which there are only two risky assets. A and B, and...
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Consider a financial world in which there are only two risky assets. A and B, and a risk-free asset F. The value of the asset A is three times as much as that of asset B in the market. The following information is known: rę -0.08, 022-0.04, og²-0.02, Elrm) = 0.15 and OM-0.0275where M refers to the market portfolio that can be expressed as M= aA + (1 - a)B. (Keep 4 decimal places to your answers, e.g. XXx.1234.) 1. Find the value of a. 2. Find a general expression (without substituting values) for 0AB PA. and Bg in terms of 02?, og² and On?. then calculate the values. Key in the values here: BA Be: 3. According to the CAPM, what are the numerical values Era)and E(re) Elral: Elra): 4. What is the B value of the market return? Consider a financial world in which there are only two risky assets. A and B, and a risk-free asset F. The value of the asset A is three times as much as that of asset B in the market. The following information is known: rę -0.08, 022-0.04, og²-0.02, Elrm) = 0.15 and OM-0.0275where M refers to the market portfolio that can be expressed as M= aA + (1 - a)B. (Keep 4 decimal places to your answers, e.g. XXx.1234.) 1. Find the value of a. 2. Find a general expression (without substituting values) for 0AB PA. and Bg in terms of 02?, og² and On?. then calculate the values. Key in the values here: BA Be: 3. According to the CAPM, what are the numerical values Era)and E(re) Elral: Elra): 4. What is the B value of the market return?
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