SAPM - Test 2

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Across
  1. 2. The efficient frontier of risky assets is matched with the utility indifference curves so as to derive ______utility.
  2. 4. In the APT model formulated by Roll & Ross λ0 is the expected return with______ systematic risk i.e. Risk Free Rate of Return
  3. 6. In order to find the efficient frontier we need to use _______of securities with one another and their covariance for determining the portfolio risk.
  4. 7. ______recognizes that factors that are relevant for a particular security in determining the expected returns can be different for different securities.
  5. 9. _____is a standardized measure of risk because it relates covariance of any asset with the market portfolio to the variance of the market portfolio.
  6. 11. Thus Expected (Required) Rate of Return for a risky asset is determined by the ______plus a risk premium for the individual asset.
  7. 12. The covariance of any asset with the market portfolio (Covi,M) is the relevant _____ measure.
  8. 13. If the alpha of a stock is zero, the stock is properly valued in line with its _______risk.
  9. 15. Any security with an estimated rate of return that plots ____the SML would be considered underpriced.
  10. 16. Any security with an estimated rate of return that plots____the SML would be considered overpriced.
  11. 17. The CAL can be plotted on the risk return graph with ______curve to find the portfolio individual investor would choose.
  12. 18. If the beta for an asset is above 1.0, the asset has higher risk than the market, which means that it is more _____than the overall market portfolio.
Down
  1. 1. The return attributable to the firm’s specific factors is referred to as _____and is denoted by (e) in the Arbitrage Pricing Theory (APT) Model.
  2. 3. If the alpha of a stock is positive, the stock is_______.
  3. 5. When we say capital markets are in______, it means that all investments are properly priced as per their risk levels.
  4. 6. The risk measure for an individual risky asset is its _______with the market portfolio.
  5. 8. Risk Premium is determined by the beta of the asset and the prevailing ____risk premium.
  6. 10. Market efficiency means absence of _____opportunities in the market.
  7. 13. The CAPM links the return of the security to a _____factor i.e. market portfolio.
  8. 14. Rational investor wants to be compensated for any reduction in the purchasing power of money due to____.