Exam 9: The Capital Asset Pricing Model Capm

Suppose you have $2,000 to invest.The market portfolio has an expected return of 10.5 percent and a standard deviation of 16 percent.The risk-free rate is 3.75 percent.How much should you invest in the risk-free asset if you wish to have a 15 percent return on the portfolio?

Which of the following is NOT a correct statement of beta?

The expected return on the market is 12 percent with a standard deviation of 15 percent and the risk-free rate is 5 percent.What is the required return on an efficient portfolio that has a standard deviation of 18 percent?

Suppose the beta of a four-asset portfolio is 1.8.The portfolio is composed of $1,500 invested in Stock W,$2,000 in Stock X,$2,500 in Stock Y,and $3,000 in Stock Z.What is the beta of Stock Z if the betas of Stock W,X,and Y are 0.7,1.3,and 2.5,respectively?

Which of the following is a NOT an assumption of the CAPM?

Beta is a measure of:

Suppose you have $4,000 to invest in Stocks X and Y.Stock X has an expected return of 13.5 percent and a beta of 1.2.Stock Y has an expected return of 18 percent and a beta of 2.How much should you invest in Stock X if you wish to have a portfolio beta of 1.8?

Is it possible to invest more than 100 percent of your available funds?

The expected return on the market is 12 percent with a standard deviation of 16 percent and the risk-free rate is 4.5 percent.Which of the following portfolios are overpriced?

A portfolio has $1,200 invested in a risk-free asset with a 5 percent rate of return,and $3,800 invested in a risky asset with a 15 percent rate of return and a 20% standard deviation.What is the standard deviation of the portfolio?

Given the following information,what is the beta of Stock X?

What is the standard deviation for a portfolio that has $3,500 invested in a risk-free asset with 5 percent rate of return,and $6,500 invested in a risky asset with a 15 percent rate of return and a 22 percent standard deviation?

Stock XYZ has a beta of 1.6 and a required rate of return of 15.75 percent.What is the risk-free rate if the market return is 12 percent?

The market portfolio is most accurately described as:

What is the main criticism of the CAPM referred to as Roll's critique?

What is the beta of a portfolio if 30 percent of the funds are invested in a risk-free asset,40 percent in the market portfolio,and the balance in a portfolio that has three times the risk of the market portfolio?

You have two portfolios,A and B.Portfolio A has an expected return of 20 percent and a beta of 1.4.Portfolio B has an expected return of 25 percent and a beta of 1.2.Is this scenario consistent with the CAPM? Why or why not?

Which one of the following is NOT part of the Fama French factor model?

The ____________ measures the sensitivity of the portfolio to changes in the overall market.

Min has $5,000 to invest.The expected return on the market portfolio is 11 percent with a standard deviation of 15 percent.What are the expected return and standard deviation for the portfolio if she borrowed $2,000 at the risk-free rate of 4 percent to invest in the market portfolio?