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According to the CAPM, the expected return from a risky asset is a function of:
According to the CAPM, the expected return from a risky asset is a function of:A . how much the risky asset contributes to portfolio riskB . diversifiable risk that the asset bringsC . the riskiness, ie the volatility of the risky asset aloneD . all of the aboveView AnswerAnswer: A...
A bond with a 5% coupon trades at 95. An increase in interest rates by 10 bps causes its price to decline to $94.50. A decrease in interest rates by 10 bps causes its price to increase to $95.60. Estimate the modified duration of the bond.
A bond with a 5% coupon trades at 95. An increase in interest rates by 10 bps causes its price to decline to $94.50. A decrease in interest rates by 10 bps causes its price to increase to $95.60. Estimate the modified duration of the bond.A . 5B . 5.79C...
Which of the following statements are true?
Which of the following statements are true? I. The square-root-of-time rule for scaling volatility over time assumes returns on different days are independent II. If daily returns are positively correlated, realized volatility will be less than that calculated using the square-root-of time rule III. If daily returns are negatively correlated,...
The relationship between covariance and correlation for two assets x and y is expressed by which of the following equations (where covarx,y is the covariance between x and y , x and y are the respective standard deviations and x,y is the correlation between x and y ):
The relationship between covariance and correlation for two assets x and y is expressed by which of the following equations (where covarx,y is the covariance between x and y , x and y are the respective standard deviations and x,y is the correlation between x and y ): A) B)...
