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Computing the expected return

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Suppose the market premium is 9%, the standard deviation of the market portfolio is 30% and the risk-free rate is 3%.

a. Suppose a security has a beta of 0.6. According to the CAPM, what is its expected return?

b. A security has a standard deviation of 60% and a correlation with the market portfolio of 0.2. According to the CAPM, what is its expected return?

c. A security has a standard deviation of 80% and a correlation with the market portfolio of -0.25. According to the CAPM, what is its expected return?

Reference no: EM132842501

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