Business, 19.10.2021 03:10 camiserjai1832

The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are normally distributed. Suppose a portfolio has an average annual return of 12.7% (i. e., an average gain of 12.7%) with a standard deviation of 34%. A return of 0% means the value of the portfolio doesn't change, a negative return means that the portfolio loses money, and a positive return means that the portfolio gains money. a) What percent of years does this portfolio lose money, i. e. have a return less than 0%?
b) What is the cutoff for the highest 15% of annual returns with this portfolio?

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The Capital Asset Pricing Model (CAPM) is a financial model that assumes returns on a portfolio are...