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4

Finance Jul 26, 2020

4.   What set of expected returns would lead us to invest 100 percent in GE stock?

 

5.   According to the CAPM, what is the expected residual return of an active manager?

1.   Show that . Since portfolio is the minimum-variance portfolio, this relationship implies that bC  £ 1, with bC  = 1 only if the market is the minimum-variance portfolio.

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