求finance高手, 關於expect return問題

Yes, this is possible.

Definition:
Ri = Return on capital asset
Rf = Risk-free rate
Rm = Return on market portfolio
Bi = Beta (of the capital asset), or the sensitivity of the asset returns against market E(Ri) = expected return on capital asset
E(Rm) = expected return on market portfolio
portfolio returns


Under CAPM, E(Ri) = Rf + Bi*[E(Rm) - Rf]

In your case, assume Rf = 4% and Rm = 9%

Then stock A has E(Ri) = 10% and hence 10%=4%*Ba*(9%-4%) ==> Ba = 1.2
And stock B has E(Ri) = 8% and hence 8%=4%*Bb*(9%-4%) ==> Bb = 0.8


Note that Ba and Bb are just "sensitivity measures" of beta against market portfolio movement. E.g. if market porfolio appreciates by 10%, then Stock A IS EXPECTED TO appreciate by 12%. It does NOT incorporate the distribution of returns (the SD in this case) into the CAPM. Therefore, CAPM still holds under your assumption.

More information: http://en.wikipedia.org/wiki/Capital_asset_pricing_model


If you want to measure "return per SD", you might wanna look into Sharpe Ratio: http://en.wikipedia.org/wiki/Sharpe_ratio