Assume the following single-factor model, where M represents the market factor (well-diversified), ERM is the market ris
Posted: Thu Apr 28, 2022 1:32 pm
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
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