Portfolio Actual return Standard deviation Beta X 10.2% 12% 1.2 Y 8.8% 9.9% 0.8 Additionally, the risk
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Question:
Portfolio Actual return Standard deviation Beta
X 10.2% 12% 1.2
Y 8.8% 9.9% 0.8
Additionally, the risk premium for the market portfolio is 5% and the risk-free rate is 4.5%.
Required:
a. For both Portfolio X and Y, calculated the expected returns using the CAPM.
b. Evaluate the performances of Portfolio X and Y using your answers from Part a and the information given in the table above.
(PLEASE ANSWER BOTH A AND B)
Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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