Question

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 percent of years does this portfolio lose money, i.e. have a return less than 0%? %

b. What is the cutoff for the highest 24% of annual returns with this portfolio

Answer #1

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...

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....

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...

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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.

Every investor in the capital asset pricing model owns a
combination of the market portfolio and a riskless asset. Assume
that the standard deviation of the market portfolio is 30% and that
the expected return on the portfolio is 15%. What proportion of the
following investors wealth would you suggest investing in the
market portfolio and what proportion in the riskless asset? (The
riskless asset has an expected return of 5%)
A) An investor who desires a portfolio with no...

Assume for parts (a) to (c) that the Capital Asset Pricing Model
holds. The market portfolio has an expected return of 5%. Stock A's
return has a market beta of 1.5, an expected value of 7% and a
standard deviation of 10%. Stock B's return has a market beta of
0.5 and a standard deviation of 20%. The correlation between stock
A's and stock B's returns is 0.5.
1.what the risk-free rate? What is the expected return on stock
B?...

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