If we substitute the definitions of E(R I ) and E(R ZI ) into the

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If we substitute the definitions of E(R_I^∗) and E(R_ZI^∗ ) into the zero-beta CAPM Eq. 10. 1, we can derive a theoretical ZCAPM without a riskless rate. Show how to get the theoretical ZCAPM in this case.

Equation 10.1

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Investment Valuation And Asset Pricing Models And Methods

ISBN: 9783031167836

1st Edition

Authors: James W. Kolari, Seppo Pynnönen

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Question Posted: Mar 05, 2024 06:00 AM

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If we substitute the definitions of E(R I ) and E(R ZI ) into the

Question:

E (R) = E(Rz1) + Bi.1[E(R) - E(Rz)], (10.1)

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Investment Valuation And Asset Pricing Models And Methods

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