Stock Number of shares Stock Price Beta А 750 33 1.2 В 220 51 0.8 460 19 1.4 Economic condition Probability A В C Вoom 20% 20% 22% 23% Normal 50% 15% 10% 12% Recession 30% 2% 5% 7% Find: a) the...

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

Stock<br>Number of shares<br>Stock Price<br>Beta<br>А<br>750<br>33<br>1.2<br>В<br>220<br>51<br>0.8<br>460<br>19<br>1.4<br>Economic<br>condition<br>Probability<br>A<br>В<br>C<br>Вoom<br>20%<br>20%<br>22%<br>23%<br>Normal<br>50%<br>15%<br>10%<br>12%<br>Recession<br>30%<br>2%<br>5%<br>7%<br>Find:<br>a) the expected return and standard deviation on this portfolio.<br>b) the expected return on the market using portfolio beta if R-5%.<br>

Extracted text: Stock Number of shares Stock Price Beta А 750 33 1.2 В 220 51 0.8 460 19 1.4 Economic condition Probability A В C Вoom 20% 20% 22% 23% Normal 50% 15% 10% 12% Recession 30% 2% 5% 7% Find: a) the expected return and standard deviation on this portfolio. b) the expected return on the market using portfolio beta if R-5%.

Jun 03, 2022

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Stock Number of shares Stock Price Beta А 750 33 1.2 В 220 51 0.8 460 19 1.4 Economic condition Probability A В C Вoom 20% 20% 22% 23% Normal 50% 15% 10% 12% Recession 30% 2% 5% 7% Find: a) the...

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