Exam 7: Capital Asset Pricing and Arbitrage Pricing Theory

The amount that an investor allocates to the market portfolio is negatively related to I.the expected return on the market portfolio. II.the investor's risk aversion coefficient. III.the risk-free rate of return. IV.the variance of the market portfolio

The expected return-beta relationship of the CAPM is graphically represented by

The market portfolio has a beta of

The value of the market portfolio equals

The Security Market Line (SML)is

The market price of risk

Which statement is not true regarding the market portfolio?

Your opinion is that Boeing has an expected rate of return of 0.0952.It has a beta of 0.92.The risk-free rate is 0.04 and the market expected rate of return is 0.10.According to the Capital Asset Pricing Model,this security is

The risk premium on the market portfolio will be proportional to

You invest $600 in security A with a beta of 1.2 and $400 in security B with a beta of 0.90.The beta of the resulting portfolio is

According to the Capital Asset Pricing Model (CAPM),the expected rate of return on any security is equal to

Which statement is true regarding the Capital Market Line (CML)?

Which statement is true regarding the market portfolio?

In a well diversified portfolio

Research by Jeremy Stein of MIT resolves the dispute over whether beta is a sufficient pricing factor by suggesting that managers should use beta to estimate

If investors do not know their investment horizons for certain

A "fairly priced" asset lies

According to the Capital Asset Pricing Model (CAPM),which one of the following statements is

An underpriced security will plot

According to the Capital Asset Pricing Model (CAPM),fairly priced securities