capm elton
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J
question about CAPM
why is correlation included to solve the problem? I cant see anything in the notes when we multiply the two terms x correlation? Beta (i,M) = covariance(i, M)/variance(M) = 24%*15%*0.70/15%^2 = 1.12 <<- must know all of these steps! CAPM: E[R(i)] = Rf + Beta (i,M)*[R(M) - Rf] = 3% +...- JamesVU2000
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- capital-asset-pricing-model capm capm elton elton equity-risk-premium returns
- Replies: 7
- Forum: P1.T1. Foundations of Risk (20%)
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M
P1.T1.Elton_Ch13.xlxm - CAPM,SML
Hi, Under the SML tab in the provided excel sheet for CAPM I could not understand how Covariance (Port, Market) is calculated. Could anyone please help me in understanding the formulae used? Thanks- Manas31
- Thread
- capm elton sml
- Replies: 5
- Forum: P1.T1. Foundations of Risk (20%)
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B
Where is the efficient frontier when correlation is perfectly negative?
Note: this is inspired by @Jayanthi Sankarans' observation at https://forum.bionicturtle.com/threads/elton-chapter-14-nonstandard-forms-of-capital-asset-pricing-models-video-tutorial.8166/ Let's assume: Risk-free asset rate is 6.0% (red dot) Asset A has expected return and standard deviation...- Bionic Turtle Super Admin
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- capm elton
- Replies: 10
- Forum: FRM® Practice Questions