If 30% of the questions are wrong it’s a good exam? If it has zero transparency and test is not electronic it’s a good exam? GARP doesn’t know how to test risk management. Most of the things are testing would be better on a computer in an applied setting.
I would also like to point out that I know Nassim Taleb personally and he thinks people involved in the academic risk industry are incompetent. This means people like Jorion and the people behind the FRM.
= (39.03)(0.58) − (40)−(0.09)(0.5) (0.4359) = $ 3.671 . this is the answer from Hull with dividends. did they want use to computer the present value of the dividends? or was it a trick question. either way. the exam is way way way too difficult
A stock has a beta of 0.75 and an expected return of 13%. The risk-free rate is 4%. Calculate the market
risk premium and the expected return on the market portfolio.
According to CAPM: 0.13 = 0.04 + 0.75[E(RM) − RF].
Therefore, the market risk premium is equal to: [E(RM) − RF] = 0.12 =...
While the riskfree rate is 1.0% and the market index (e.g., S&P 1500) has an expected return of 9.0% with volatility of 20.0%, a portfolio with covariance (to the market index) of 0.030 returns 10.0%. According to the capital asset pricing model (CAPM), what is the portfolio’s alpha?