Use the following CAPM equation for a portfolio to answer the questions that follow: E(RP) = RF + βP (RM – RF) = 1 + 0.8 (5 – 1) = 4.2% a) Is the portfolio defensive or aggressive. Why? b) If the actual portfolio return is 6%, what is the portfolio’s alpha?
Use the following CAPM equation for a portfolio to answer the questions that follow: E(RP) = RF + βP (RM – RF) = 1 + 0.8 (5 – 1) = 4.2% a) Is the portfolio defensive or aggressive. Why? b) If the actual portfolio return is 6%, what is the portfolio’s alpha?
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 13QTD
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Use the following
E(RP) = RF + βP (RM – RF) = 1 + 0.8 (5 – 1) = 4.2%
a) Is the portfolio defensive or aggressive. Why?
b) If the actual portfolio return is 6%, what is the portfolio’s alpha?
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