Question

CAPM: 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 12% (i.e. an average gain of 12%) with a standard deviation of 23%. A return of 0% means the value of the portfolio doesn't change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. (please round answers to within one-hundredth of a percent)

1) a. What percent of years does this portfolio lose money, i.e. have a return less than 0%? b. What is the cutoff for the highest 20% of annual returns with this portfolio?

Answer #1

a)

µ = 12

σ = 23

P( X ≤ 0 ) = P( (X-µ)/σ ≤ (0-12)
/23)

=P(Z ≤ -0.52 ) = 0.30093 or
30.09% (answer)

b)

µ= 12

σ = 23

P(X≤x) = 0.80000

z value at 0.8= 0.8416 (excel formula
=NORMSINV(0.8))

z=(x-µ)/σ

so, X=zσ+µ= 0.842 *23+12

**X = 31.357
(answer)**

CAPM. The Capital Asset Pricing Model (CAPM) is a financial
model that assumes returns on a portfolio are normally distributed.
Suppose a portfolio had an average annual rate of return of 14.7%
(i.e an average gain of 14.7%) with a standard deviation of 33%. A
return of 0% means the value of the portfolio doesn't change, a
negative return means that the portfolio loses money, and a
positive return means that the portfolio gains money.
What percent of years does...

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 16% (i.e. an average gain
of 16%) with a standard deviation of 30.5%. A return of 0% means
the value of the portfolio doesnt 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...

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 10% (i.e. an average gain
of 10%) with a standard deviation of 31.5%. A return of 0% means
the value of the portfolio doesnt 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...

The Capital Asset Pricing Model is a financial model that
assumes returns on a portfolio are normally distributed. Suppose a
portfolio has an average annual return of 15.5% (i.e. an average
gain of 15.5%) with a standard deviation of 43%. A return of 0%
means the value of the portfolio doesn't change, a negative return
means that the portfolio loses money, and a positive return means
that the portfolio gains money. Round all answers to 2 decimal
places.
a. What...

Portfolio returns. The Capital Asset Pricing Model is a
financial model that assumes returns on a portfolio are normally
distributed. Suppose a portfolio has an average annual return of
15.3% (i.e. an average gain of 15.3%) with a standard deviation of
31%. A return of 0% means the value of the portfolio doesn't
change, a negative return means that the portfolio loses money, and
a positive return means that the portfolio gains money. Round all
answers to 4 decimal places....

home / study / math / statistics and probability / statistics
and probability questions and answers / portfolio returns. the
capital asset pricing model is a financial model that assumes
returns ... Your question has been answered Let us know if you got
a helpful answer. Rate this answer Question: Portfolio returns. The
Capital Asset Pricing Model is a financial model that assumes
returns on a... Portfolio returns. The Capital Asset Pricing Model
is a financial model that assumes returns...

Assume returns on a porfolio are normally distributed. Suppose a
portfolio have average return of 15% with a standard deviation of
40%. A return of 0% means the value of the portfolio 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 have a
return less than 0%?
b) what is the cutoff of the highest 5% of annual...

Critically examine the Capital Asset Pricing Model (CAPM) of
portfolio
management.

Examples of capital asset pricing model (CAPM), when it comes to
the required rate of return.

Compare and contrast Capital Asset Pricing Model (CAPM) with
Arbitrage Pricing Theory (APT). What is the single most important
issue with CAPM? Which model is more realistic? Why?

ADVERTISEMENT

Get Answers For Free

Most questions answered within 1 hours.

ADVERTISEMENT

asked 11 minutes ago

asked 27 minutes ago

asked 39 minutes ago

asked 1 hour ago

asked 1 hour ago

asked 1 hour ago

asked 2 hours ago

asked 2 hours ago

asked 2 hours ago

asked 2 hours ago

asked 2 hours ago

asked 2 hours ago