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28 Sep 2019
Please comment the following statement
1) The expected return of zero beta security is zero;
2) According to CAPM, the higher the standard deviation, the higher the expected return.
3) You could invest 20% on market portfolio and 80% on risk free asset to make the beta of your portfolio being 0.8
4) A security with positive standard deviation should have expected return greater than risk free rate. Otherwise nobody will hold it.
Please comment the following statement
1) The expected return of zero beta security is zero;
2) According to CAPM, the higher the standard deviation, the higher the expected return.
3) You could invest 20% on market portfolio and 80% on risk free asset to make the beta of your portfolio being 0.8
4) A security with positive standard deviation should have expected return greater than risk free rate. Otherwise nobody will hold it.
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Jarrod RobelLv2
28 Sep 2019
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