Forecast each security’s beta using the Vasicek technique.
Answer to relevant QuestionsGiven 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 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. Assuming that firms A and B are in the same industry, calculate the covariance of returns. In ...What is the optimum portfolio assuming short sales if RF = 5% and p = 0.5? Use the data in Problem 4. In Problem 4 If RL equals 5%, what is the preferred investment shown in Problem 1 using Roy’s safety-first criterion? In Problem 1 For the following returns: What is the average return in each market from the point of view of a U.S. and a Japanese investor?
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