1 assuming the expected market rate of return is 16 and the, Ask an Expert

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1. Assuming the expected market rate of return is 16% and the rate on T-bills is 5%.

Using the CAPM calculate the following:

a. The market risk premium.

b. The slope of the Security Market Line.

c. The required rate of return on stock (A) with a beta of 0.8

d. The required rate of return on stock (B) with a beta of 2.20

2. There is a portfolio whose current value is $2 million. Its daily return is normally distributed with a mean of 2% and a standard deviation of 0.7.

a. Compute the daily 99% and 95% VaRs of a portfolio

b. Interpret the results.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92858164

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