h) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio...
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h) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. What is the unsystematic risk (expressed as a variance) of portfolio E? (1.5 marks) Enter your answer to 4 decimal places eg if your answer is 0.45787 enter as 0.4579. Consider the following seven (7) portfolios plotted with the Minimum Variance Frontier. Assume all portfolios, except portfolio G, are fairly priced according to the CAPM: A B C D E IF Expected Return G 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 0.0% 5.0% Minimum Variance Frontier 12.2% 20.2% 23.6% 26.4% 15.0% 20.2% 3.0% A 10.0% B E 15.0% Standard Deviation C 11.4% 15.7% 19.5% 22.7% 15.7% 22.5% 19.0% G 20.0% D The risk-free rate in the market is 8.0%. The return and risk of each of the seven portfolios is as follows: Portfolio Expected Return Standard Deviation Fo 25.0% 30.0% h) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. What is the unsystematic risk (expressed as a variance) of portfolio E? (1.5 marks) Enter your answer to 4 decimal places eg if your answer is 0.45787 enter as 0.4579. Consider the following seven (7) portfolios plotted with the Minimum Variance Frontier. Assume all portfolios, except portfolio G, are fairly priced according to the CAPM: A B C D E IF Expected Return G 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 0.0% 5.0% Minimum Variance Frontier 12.2% 20.2% 23.6% 26.4% 15.0% 20.2% 3.0% A 10.0% B E 15.0% Standard Deviation C 11.4% 15.7% 19.5% 22.7% 15.7% 22.5% 19.0% G 20.0% D The risk-free rate in the market is 8.0%. The return and risk of each of the seven portfolios is as follows: Portfolio Expected Return Standard Deviation Fo 25.0% 30.0%
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Auditing a risk based approach to conducting a quality audit
ISBN: 978-1133939153
9th edition
Authors: Karla Johnstone, Audrey Gramling, Larry Rittenberg
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