medium · Quantitative Finance qf-core
A stock trades at S₀ = $60, with expected market return E[R_m] = 9% and risk-free rate r_f = 3%. The stock's covariance with the market is 0.030 and the market variance is 0.020.
According to CAPM, what is the required expected return for this stock?
- 12.0%
- 9.0%
- 15.0%
- 6.0%
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