The data below describe a three-stock financial market that satisfies the single-index model. Capitalization $3,000 $1,940...
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The data below describe a three-stock financial market that satisfies the single-index model. Capitalization $3,000 $1,940 $1,360 Stock A B C Beta 1.0 0.2 1.7 Mean Excess Return 10% 2 17 Standard Deviation 40% 30 50 The standard deviation of the market-index portfolio is 25%. a. What is the mean excess return of the index portfolio? b. What is the covariance between stock A and stock B? c. What is the covariance between stock B and the index? d. Break down the variance of stock B into its systematic and firm-specific components. The data below describe a three-stock financial market that satisfies the single-index model. Capitalization $3,000 $1,940 $1,360 Stock A B C Beta 1.0 0.2 1.7 Mean Excess Return 10% 2 17 Standard Deviation 40% 30 50 The standard deviation of the market-index portfolio is 25%. a. What is the mean excess return of the index portfolio? b. What is the covariance between stock A and stock B? c. What is the covariance between stock B and the index? d. Break down the variance of stock B into its systematic and firm-specific components.
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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