Consider a market that consists of only three risky stocks with the following information. Number of...
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Consider a market that consists of "only three" risky stocks with the following information. Number of shares Price Expected rate of outstanding per share return Stock A 5,000 $2.00 10% Stock B 4,000 $4.00 15% Stock C 2,000 $5.00 20% There is a risk free cash bond with interest 5%. a) (20 points) What is the market portfolio? b) (10 points) Compute the expected rate of return of the market portfolio. c) (15 points) Compute the beta value for each stock using the CAPM model. d) (25 points) What is the Jensen index for the portfolio (0.20, 0.50, 0.30) consisting of stocks A, B and C? 2) (30 points) On 1 January 2021 spot price for a commodity is $100 and the forward price for delivery on 1 March 2021 is $120. What is the monthly interest rate? Consider a market that consists of "only three" risky stocks with the following information. Number of shares Price Expected rate of outstanding per share return Stock A 5,000 $2.00 10% Stock B 4,000 $4.00 15% Stock C 2,000 $5.00 20% There is a risk free cash bond with interest 5%. a) (20 points) What is the market portfolio? b) (10 points) Compute the expected rate of return of the market portfolio. c) (15 points) Compute the beta value for each stock using the CAPM model. d) (25 points) What is the Jensen index for the portfolio (0.20, 0.50, 0.30) consisting of stocks A, B and C? 2) (30 points) On 1 January 2021 spot price for a commodity is $100 and the forward price for delivery on 1 March 2021 is $120. What is the monthly interest rate?
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a The market portfolio is a portfolio that represents the entire market and has a riskfree return In this case the market portfolio can be constructed ... View the full answer
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