Overthenextyearhorizon,therisklessrateis4%andtheexpectedequityriskpremiumis5%.A portfolio has a beta of 1.2. 1. What is the expected return of the portfolio according
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Over the next year horizon, the riskless rate is 4% and the expected equityrisk premium is 5%. A portfolio has a beta of 1.2.
- 1. What is the expected return of the portfolio according to the CAPM?
- 2. If the realized return of the market turned out to be 12%, and the portfolio had a 13% return, what was the alpha of the portfolio for the year?
Related Book For
Fundamentals of Investments, Valuation and Management
ISBN: 978-1259720697
8th edition
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
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