Suppose that the market portfolio is equally likely to increase by 24% or decrease by 8%....
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Suppose that the market portfolio is equally likely to increase by 24% or decrease by 8%. Security "X" goes up on average by 29% when the market goes up and goes down by 11% when the market goes down. Security "Y" goes down on average by 16% when the market goes up and goes up by 16% when the market goes down. Security "Z" goes up on average by 4% when the market goes up and goes up by 4% when the market goes down. 1) What is the risk free rate (10 points)? d 2) What is the expected return on market portfolio (15 points)? d 3) What is the expected return on security with a beta of 0.8 is closest to (15 points): Suppose that the market portfolio is equally likely to increase by 24% or decrease by 8%. Security "X" goes up on average by 29% when the market goes up and goes down by 11% when the market goes down. Security "Y" goes down on average by 16% when the market goes up and goes up by 16% when the market goes down. Security "Z" goes up on average by 4% when the market goes up and goes up by 4% when the market goes down. 1) What is the risk free rate (10 points)? d 2) What is the expected return on market portfolio (15 points)? d 3) What is the expected return on security with a beta of 0.8 is closest to (15 points):
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