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Category > Business & Finance Posted 15 Jul 2017 My Price 6.00

1. Suppose the risk-free rate is 6.3 percent

1. Suppose the risk-free rate is 6.3 percent and the market portfolio has an expected rate of return of 14.8 percent. The market portfolio has a variance of 0.0121. Portfolio Z has a correlation coefficient with the market of 0.45 and a variance of 0.0169. According to the CAPM, what is the expected rate of return on portfolio Z?

2. The following data have been developed for the Durham Company. Variance of market returns E 0.04326 Covariance of the returns on Durham and the market E 0.0635 Suppose the market risk premium is 9.4 percent and the expected return on Treasury bills is 4.9 percent.

a. Write the equation of the security market line.

b. What is the required return of Durham Company?

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Status NEW Posted 15 Jul 2017 09:07 AM My Price 6.00

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