please provide Correct answer with explanation. The Capital Asset Pricing Model (CAPM) is a financial model that assumes
Posted: Fri Dec 24, 2021 9:54 am
please provide Correct answer with explanation.
The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 14.7% (1.e. an average gain of 14.7%) with a standard deviation of 33%. A return of 0% means the value of the port doesn't change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money.
(a) What percent of years does this portfolio lose money, i.e. have a return less than 0%?
(b) What is the cut-off for the highest 15% of annual returns with this portfolio?
The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 14.7% (1.e. an average gain of 14.7%) with a standard deviation of 33%. A return of 0% means the value of the port doesn't change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money.
(a) What percent of years does this portfolio lose money, i.e. have a return less than 0%?
(b) What is the cut-off for the highest 15% of annual returns with this portfolio?