Compute the expected return and standard deviation of


The following table gives the expected returns and standard deviations of returns for three portfolios: Portfolio Expected Return Standard Deviation M 0.15 0.22 Z 0.05 0.08 F 0.03 0.00 In this question, let CAPM1 and CAPM2 denote the standard CAPM and the CAPM with a risk-free security that cannot be sold short, respectively. We suppose that portfolios M and Z contain only risky securities (M is the market portfolio for CAPM2 and Z is the corresponding minimum-variance zero-beta portfolio), while F is the risk-free security.

(a) Compute the expected return and standard deviation of returns of the risky security-only global MVP G

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Business Economics: Compute the expected return and standard deviation of
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