You have a portfolio which consists of 75% of stock 1 (σ^2 = 0.16) and 25% of stock 2 (σ^2 = 0.09). Covariances : σ1,2 =
Posted: Sun Apr 10, 2022 8:43 am
You have a portfolio which consists of 75% of stock 1 (σ^2 =
0.16) and 25% of stock 2 (σ^2 = 0.09). Covariances : σ1,2 = 0.02 ,
σ1,m = 0.064 , σ2,m = 0.032 and σ m^2 = 0.04 (market variance).
Expected return of market rm =0.12, risk free rate rf =0.04
and CAPM is valid. Find the expected returns of stocks 1 and 2 and
portfolio
0.16) and 25% of stock 2 (σ^2 = 0.09). Covariances : σ1,2 = 0.02 ,
σ1,m = 0.064 , σ2,m = 0.032 and σ m^2 = 0.04 (market variance).
Expected return of market rm =0.12, risk free rate rf =0.04
and CAPM is valid. Find the expected returns of stocks 1 and 2 and
portfolio