Asset expected return standard deviation

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Reference no: EM133111910

Problem 1: True or False Are the following statements true or false? Please briefly explain your answer.

The following assets are available to you:

Asset Expected return Standard deviation

A 15% 36%

B 12% 15%C 5% 7%

D 9% 21%

You are not sure about correlations between these assets. Statement: Asset D can not lie on the efficient frontier.

e) All investors are maximizing the expected return subject to not exceeding some standard deviation they are willing to tolerate. Asset A has a lower Sharpe-ratio and a high-variance than Asset B. Statement: Some investors might still invest some of their wealth into Asset A.

f) CAPM holds. Statement: If beta of an asset is 0, the asset must be a risk-free asset.

g) The asset has expected return of 5% and standard deviation of 0%. Statement: a return on the asset can be negative.

h) The asset has expected return of 5% and standard deviation of 2%. Statement: a return on the asset can be negative.

Reference no: EM133111910

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