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Arbitage Pricing Model

Arbitage Pricing Model

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Published by souvik.icfai
Arbitage Pricing Model + CAPM
Arbitage Pricing Model + CAPM

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Published by: souvik.icfai on Jan 08, 2010
Copyright:Attribution Non-commercial

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04/29/2013

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Chapter 9
AN INTRODUCTION TO ASSET
PRICING MODELS
 
Chapter 9 Questions
What are the assumptions of the capital assetpricing model?What is a risk-free asset and what are its risk-return characteristics?What is the covariance and correlationbetween the risk-free asset and a risky assetor portfolio of risky assets?What is the expected return when wecombine the risk-free assets and a portfolio ofrisky assets?
 
Chapter 9 Questions
What is the standard deviation when wecombine the risk-free asset and a portfolio ofrisky assets?When you combine the risk-free asset and aportfolio of risky assets on the Markowitzefficient frontier, what does the set of possibleportfolios look like?Given the initial set of portfolio possibilitieswith a risk-free asset, what happens whenyou add financial leverage (that is, borrow)?

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