Variance/Covariance Efficient Portfolios
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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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Write the equation characterizing the set of efficient portfolios in CAPM model.
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a. Write the equation characterizing the set of efficient portfolios in CAPM model.
First, calculate the ...
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