Question: 1. According to the CAPM, the required return for a portfolio with a beta coefficient of 1.05, T-bills = 1.25% and market return of 7.8%,

1. According to the CAPM, the required return for a portfolio with a beta coefficient of 1.05, T-bills = 1.25% and market return of 7.8%, is:

a. 8.00%

b. 8.19%

c. 8.13%

d. 9.44%

Use the following data to calculate the Beta coefficient of an asset using the CAPM: Rf = 2.25%; rj= 15.2%; rm= 9.0%.

a. 2.02

b. 2.92

c. 1.89

d. 1.92

3. Calculate the VaR for a portfolio that has an expected return equal to 18.90% and a risk of 5.67%, if this return were in the fifth percentile of the distribution.

a. 8.63%

b. 9.57%

c. 5.50%

d. None of the above

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