What is the expected return on an asset

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Reference no: EM13529082

Suppose that CAPM holds, the riskfree rate is Rf = 2% and the expected return on the market portfolio is E[Rm] = 12%. The standard deviation of the market return is 20%.
a) What is the expected return on an asset that has β = 1.5 with the market return?
b) What is the beta of a portfolio that has E[Rp] = 11%?
c) A security return Ri has a covariance of σi,m = 0.1 with the market return. What is the expected excess return E[Ri] - Rf ?

Reference no: EM13529082

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