Assume the following single-factor model, where M represents the market factor (well-diversified), ERM is the market ris

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answerhappygod
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Assume the following single-factor model, where M represents the market factor (well-diversified), ERM is the market ris

Post by answerhappygod »

Assume the following single-factor model, where
M represents the market
factor (well-diversified), ERM is the market risk premium, and
E[RP] is
the excess return on a well-diverisifed portfolio:
ERP=αP+βPERM=0.02+1.9*ERM
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