Assume the CAPM Is the Correct Asset Pricing Model,the Risk-Free $-200 \%$

question 30

Multiple Choice

Assume the CAPM is the correct asset pricing model,the risk-free rate of return is 6%,and the market portfolio has an expected return and a standard deviation of 16% and 0.10%,respectively.An investor has a portfolio consisting of asset A,which has a beta of 0.6,and asset B,which has a beta of 0.8.If the investor wishes to earn a return identical to that of the market portfolio,what weight should the investor place in assets A and B?

• A) \( -200 \% \) in asset \( A \) and \( 300 \% \) in asset \( B \)
• B) \( -100 \% \) in asset \( A \) and \( 200 \% \) in asset \( B \)
• C) \( 20 \% \) in asset A and \( 80 \% \) in asset B
• D) \( 40 \% \) in asset \( A \) and \( 60 \% \) in asset B

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