Exam 11: Return and Risk: the Capital Asset Pricing Model

Your portfolio has a beta of 1.18.The portfolio consists of 15% U.S.Treasury bills, 30% in stock A, and 55% in stock B.Stock A has a risk-level equivalent to that of the overall market.What is the beta of stock B?

The intercept point of the security market line is the rate of return which corresponds to:

What is the standard deviation of a portfolio which is comprised of $4,500 invested in stock S and $3,000 in stock T? State of Probability of Boom 10\% 12\%4\% Normal 65\% 9\%6\% Recession 25\% 2\%9\%

The elements in the off-diagonal positions of the variance/covariance matrix are:

A portfolio has 25% of its funds invested in Security C and 75% of its funds invested in Security D.Security C has an expected return of 8% and a standard deviation of 6%.Security D has an expected return of 10% and a standard deviation of 10%.The securities have a coefficient of correlation of 0.6.Which of the following values is closest to portfolio return and variance?

Unsystematic risk:

The common stock of Flavorful Teas has an expected return of 14.4%.The return on the market is 10% and the risk-free rate of return is 3.5%.What is the beta of this stock?