Assume the CAPM market portfolio (or, the tangency portfolio in Markowitz optimization) has an average...
70.2K
Verified Solution
Link Copied!
Question
Finance
Assume the CAPM market portfolio (or, the tangency portfolio in Markowitz optimization) has an average return of 0.15 with a standard deviation of 0.25. The portfolio you managed for DESB Capital has an average return of 0.18 with a standard deviation of 0.4. You also know that your portfolio has a CAMP beta of 1.2 and a tracking error of 0.1. What is the M2M2 measure of your portfolio? (Express your answer in non percentage term with 4 decimal points, i.e. if your answer is 12.345678%, write down 0.1235.)
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
- Unlimited Question Access with detailed Answers
- Zin AI - 3 Million Words
- 10 Dall-E 3 Images
- 20 Plot Generations
- Conversation with Dialogue Memory
- No Ads, Ever!
- Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Other questions asked by students
StudyZin's Question Purchase
1 Answer
$0.99
(Save $1 )
One time Pay
- No Ads
- Answer to 1 Question
- Get free Zin AI - 50 Thousand Words per Month
Best
Unlimited
$4.99*
(Save $5 )
Billed Monthly
- No Ads
- Answers to Unlimited Questions
- Get free Zin AI - 3 Million Words per Month
*First month only
Free
$0
- Get this answer for free!
- Sign up now to unlock the answer instantly
You can see the logs in the Dashboard.