The following expected return and the standard deviation of current returns are known: Security (i) Expected Return Standard Deviation β i A 0.20 0.12 1.1 B 0.12 0.10 0.8 T-Bills 0.05 0 0 Market...




The following expected return and the standard deviation of current returns are known:








































Security (i)Expected ReturnStandard Deviation



βi





A0.200.121.1
B0.120.100.8
T-Bills0.0500
Market Portfolio0.200.151




Required:





Determine which of A or B is over-valued or undervalued.







Jun 10, 2022
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