Mean excess return: 8% Standard deviation of annual returns: 18% Portfolio beta: 1.5 Is there a way to determine coefficient of variation from the above information? Thanks everyone.
cv = sigma / mu = 8/18 = .4444
I don’t know about that. That’s excess return in the denominator but std dev of returns (not excess returns) in the numerator. Not what I would do…
Wrong choice… did a re-read once you pointed it out. Thanks, Joey.
hmm… Probably we need more information to compute it. Thanks cpk & Brian.
Sondin, the return on market portfolio and risk free rates r missing. Once u have it, u will know ur R given the Beta.
Ok. Got it. Thanks Maparam.
need Rf and Rm
need Rf and Rm to apply CAPM and get Er me thinks
what is coefficient of variation again? are we talking about beta?
the measure of how much dispersion there is relative to the mean of a distribution.