![CAPM data: Market portfolio: Risk-free asset: Om = 0.2 E[RM]=18%, R, = 6% T-bills are also available. They are considered ris](http://img.homeworklib.com/questions/cf597c30-9648-11eb-b84b-b9b010175198.png?x-oss-process=image/resize,w_560)
Homework Answers
1.
Beta of Tbills=0
Sigma of Tbills=0
2.
=25000/20000*0.2=0.2500
3.
=25000/20000*1=1.2500
4.
w*18%+(1-w)*6%=20%
=>w=(20%-6%)/(18%-6%)=1.1667
Weight in Portfolio X=1.1667
Weight in Tbills=1-1.1667=-0.1667
Borrow 0.1667 and invest total 1.1667 in market portfolio
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CAPM data: Market portfolio: Risk-free asset: Om = 0.2 E[RM]=18%, R, = 6% T-bills are also...
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