Consider a world with only two risky assets, X and Y, and a risk-free asset. Stock X has 200 shares outstanding, a price per share of 3 TL, an expected return of 16% and a standard deviation of 30%. Stock Y has 300 shares outstanding, a price per share of 4 TL, an expected return of 10% and a standard deviation of 15%. The correlation between these two stocks is 40%. Assume CAPM holds. What would be the beta of Stock X and Stock Y.
Consider a world with only two risky assets, X and Y, and a risk-free asset. Stock X has 200 shares outstanding, a price per share of 3 TL, an expected return of 16% and a standard deviation of 30%. Stock Y has 300 shares outstanding, a price per share of 4 TL, an expected return of 10% and a standard deviation of 15%. The correlation between these two stocks is 40%. Assume CAPM holds. What would be the beta of Stock X and Stock Y.
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter3: Risk And Return: Part Ii
Section: Chapter Questions
Problem 3P: Two-Asset Portfolio
Stock A has an expected return of 12% and a standard deviation of 40%. Stock B...
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