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Suppose a portfolio manager has the following information on a well-diversified portfolio:

1. the risk-free rate is estimated at 2.2%;

2. The return on a market portfolio is estimated at 5.0%;

3. The expected return on this portfolio is 6%.

a. Calculate the alpha according the CAPM.

Alpha %

b. To construct an arbitrage portfolio, what are the weights on the following assets.

Porfolio P_________ %; Market Porfolio__________ %; Risk-free Assets_________ %

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92694035

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