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Dmitry_Shevchenko [17]
3 years ago
10

4.8 CAPM. The Capital Asset Pricing Model (CAPM) is a nancial model that assumes returns on a portfolio are normally distributed

. Suppose a portfolio has an average annual return of 14.7% (i.e. an average gain of 14.7%) with a standard deviation of 33%. 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%

Business
1 answer:
loris [4]3 years ago
8 0

Answer:

32.64%

Explanation:

Given Data:

Average annual return (mean) = 14.7%

standard deviation = 33%

A) what percent of years does the portfolio lose money ( ?% < 0% )

The percentage of the year that the portfolio loses money = 32.64%

attached below is a detailed solution

The  value of P( Z < -0.45 ) = 0.32636 . This value is gotten from standard normal table

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