Business, 12.03.2020 18:53 ranmmm

Consider a world in which there are only two risky assets, A and B, and a risk-free asset F. The two risky assets are in equal supply in the market; that is, the market portfolio M = 1/2 (A + B). The following information is known:

r_F = 0.10, σ_A² = 0.04, σ_ΑΒΞ = 0.01, σ_B² = 0.02, ř_M = 0.18.

(a) Find a general expression (without substituting values) for σ_M², ß_A, β_Β.
(b) According to the CAPM, what are the numerical values for ř_A and ř_B.

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Consider a world in which there are only two risky assets, A and B, and a risk-free asset F. The two...