A small market consists of three stocks, A, B, and C. and their financial data and projection are presented below. Assume CAPM holds. Stock Number of shares Stock Price Beta A 750 33 1.2 B 220 51 0.8...




A small market consists of three stocks, A, B, and C. and their financial data and projection are presented below. Assume CAPM holds.


































Stock







Number of shares







Stock Price







Beta







A







750







33







1.2







B







220







51







0.8







C







460







19







1.4







































Economic condition







Probability







A







B







C







Boom







20%







20%







22%







23%







Normal







50%







15%







10%







12%







Recession







30%







2%







5%







7%







Find:




  1. a)  the expected return and standard deviation on this portfolio.




  2. b)  the expected return on the market using portfolio beta if Rf=5%.







Jun 06, 2022
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