Question: A stock's return is expected to be 1 3 % , standard deviation is 2 9 % , the return's correlation with the market return

A stock's return is expected to be 13%, standard deviation is 29%, the return's correlation with the market return is 0.5. If the riskfree rate is 5% and the CAPM holds, then the market portfolio has a Sharpe ratio of

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Q:

Two stocks: stock D and stock E are trading in the stock market. Stock price of D is $73 now. D will be priced at $63 next year if there is a recession, $83 if economy will be normal, and $93 if...

Q:

Two stocks: stock D and stock E are trading in the stock market. Stock price of D is $73 now. D will be priced at $63 next year if there is a recession, $83 if economy will be normal, and $93 if...

Q:

Two stocks: stock D and stock E are trading in the stock market. Stock price of D is $73 now. D will be priced at $63 next year if there is a recession, $83 if economy will be normal, and $93 if...

Q:

Please don't send other people's answers Two stocks: stock D and stock E are trading in the stock market. Stock price of D is $73 now. Dwill be priced at $63 next year if there is a recession, $83 if...

Q:

Stock ABC has an expected return of 11.05%, a standard deviation of 2.36%, and a correlation coefficient of -0.13 with market returns. The market has an expected return of 8.49%, and a standard...

Q:

Saved Help Save & Exit Sub Check my work There are two stocks in the market, stock A and stock B. The price of stock A today is $72. The price of stock A next year will be $60 if the economy is in a...

Q:

Is it possible to construct a portfolio of real-world stocks that has required return equal to the risk-free rate? Explain. Stock A has an expected return of 7%, a standard deviation of expected...

Q:

3. Optimal portfolio choice with two risky asset and one risk-free asset: Jessica has S10,000. She can invest the money in (1) a corporate bond, (2) a stock, and (3) the risk- free T bill. The table...

Q:

Question 2 Stock A has an expected return of 8% and standard deviation of 12%. The risk-free rate is 2%. (a Suppose Bob has a risk aversion coefficient A=5. What percentage of his wealth should be...

Q:

There are two stocks in the market, stock A and stock B . The price of stock A today is $ 6 6 . The price of stock A next year will be $ 5 4 if the economy is in a recession, $ 7 4 if the economy is...

Q:

a) Consider a subset X = {2, 4, 5, 7, 8, 9, 10, 21} of the set of natural numbers N. Define an order relation

Q:

What is the Brewsters angle for a diamond submerged in water if the light is hitting the diamond (n = 2.42) while travelling in the water?

Q:

The value of a company in the market is a result of: its ROE

Q:

Discuss the policy statement concept and identify three focus areas / procedures where a clearpolicy statement / operating procedure

Q:

Is your compensation and benefit system developed so that employees will view it as fair and impartial?

Q:

Does your organization attempt to develop a work environment in which employees will not feel compelled to join a union?

Q:

What laws have been passed to legislate ethics?