An individual common stock has a beta of 0.9 and a correlation coefficient of 0.9. The expected return of the stock is 20%, and the standard deviation of its returns is 12%. If a risk-free asset has an expected return of 4%, then: a) the expected return on the market portfolio is 22%. b) the market returns standard deviation is 12%. c) the beta of the market returns is 0.9. d) both a) and b) are true. e) both a) and c) are true. Pls show procedure, thanks
An individual common stock has a beta of 0.9 and a correlation coefficient of 0.9. The expected return of the stock is 20%, and the standard deviation of its returns is 12%. If a risk-free asset has an expected return of 4%, then: a) the expected return on the market portfolio is 22%. b) the market returns standard deviation is 12%. c) the beta of the market returns is 0.9. d) both a) and b) are true. e) both a) and c) are true. Pls show procedure, thanks
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 14P
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An individual common stock has a beta of 0.9 and a correlation coefficient of 0.9. The expected return of the stock is 20%, and the standard deviation of its returns is 12%. If a risk-free asset has an expected return of 4%, then:
a) the expected return on the market portfolio is 22%.
b) the market returns standard deviation is 12%.
c) the beta of the market returns is 0.9.
d) both a) and b) are true. e) both a) and c) are true.
Pls show procedure, thanks
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