Assume that CAPM holds for stock X. You are given the following information about stock X...
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Assume that CAPM holds for stock X. You are given the following information about stock X and the market portfolio, M: E(R) Std. Deviation Risk-free Asset (f) 0.05 (=5%) 0.00 Stock X ? 0.30 Market portfolio (M) 0.10 0.225 Let's assume that the beta of stock X is equal to 0.8. If you would like to generate the same return as stock X by combining the risk-free asset and the market portfolio, what will be the standard deviation of this optimal portfolio? Cannot be calculated 15.00% 18.00% 22.50% 20.00% Assume that CAPM holds for stock X. You are given the following information about stock X and the market portfolio, M: E(R) Std. Deviation Risk-free Asset (f) 0.05 (=5%) 0.00 Stock X ? 0.30 Market portfolio (M) 0.10 0.225 Let's assume that the beta of stock X is equal to 0.8. If you would like to generate the same return as stock X by combining the risk-free asset and the market portfolio, what will be the standard deviation of this optimal portfolio? Cannot be calculated 15.00% 18.00% 22.50% 20.00%
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