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Variance/Covariance Efficient Portfolios

Question 9. You have the following info about company ABC:
Variance of market returns = 0.05492
Covariance of the returns on Durnham and the market = 0.0635
Suppose that the market risk premium is 8.4% and the expected return on Treasury bills is 4.9%.

a. Write the equation characterizing the set of efficent portfolios in CAPM model.
b. What is the required return on company ABC?

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a. Write the equation characterizing the set of efficient portfolios in CAPM model.

First, calculate the ...

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Write the equation characterizing the set of efficient portfolios in CAPM model.

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