New answers tagged capm
It is really simple and probably not a question for this forum. You just need: $\alpha * .08 + (1-\alpha) * .02 = .12$. Solve for alpha and then check the standard deviation that should be .25.
I have to agree with Tim as Most books also suggest the same. But, realistically, considering the cost of Insurance and there being no significant returns from the underlying asset, the investor should question himself whether "Is the asset Worth investing?" Considering the huge risk of invested amount & current macro economic events, the underlying ...
Russia is a difficult case to analyze. According to Dimson, Staunton and Marsh the real annualized return on Russian equities from 1995 to the end of 2014 is 3.5% a year. Source: 2015 Global Investment Return Yearbook page 52 [\link]. This is the longest and best continuous estimate that I am aware of. After subtracting a real return on Tbills in this period ...
If I understand you properly you’re wondering if it is possible to have negative beta’s or a negative market factor (Rm-Rf<0) in the context of CAPM. One could consider buying such assets as buying insurance against macroeconomic risk that adversely relates to the rest of your portfolio. A common example is gold, since the could be seen as an insurance ...
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