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    anh49's Avatar
    anh49 Posts: 1, Reputation: 1
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    #1

    Mar 16, 2010, 10:23 AM
    How to calculate empirical and Camp-beta
    Security M Security N
    Expected return 11% 20%
    Standard deviation 9% 14%
    Covariance with the market portfolio 0.00512 0.0128
    Correlation coefficient between the returns of securities M and N is -0.3. Risk-free rate is 5%. Risk premium of the market portfolio is 6% and market portfolio’s standard deviation is 8%.
    a. Calculate the empirical and CAPM-implied beta for each security.
    b. Would you long or short securities M and N?
    c. Calculate the portfolio weights that must be invested in securities M and N in order to achieve the minimum variance portfolio.
    cbapitt's Avatar
    cbapitt Posts: 1, Reputation: 1
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    #2

    Mar 16, 2010, 08:48 PM
    You should get out of the CBA program.
    morgaine300's Avatar
    morgaine300 Posts: 6,561, Reputation: 276
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    #3

    Mar 18, 2010, 09:39 PM

    That's an interesting deduction.
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