question archive The risk-free rate is 6%, the expected return on the market portfolio is 12%, and the standard deviation of the return on the market portfolio is 24%
The risk-free rate is 6%, the expected return on the market portfolio is 12%, and the standard deviation of the return on the market portfolio is 24%
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The risk-free rate is 6%, the expected return on the market portfolio is 12%, and the standard deviation of the return on the market portfolio is 24%. Recall that in the CAPM, the Market portfolio is the same as the tangency portfolio and the Capital Market Line (CML) is tangent to the efficient frontier at the Market portfolio as shown if Figure B below. Consider a portfolio with expected return of 16% that lies on the CML.
1)What is the beta of this portfolio?
2) What is the standard deviation of its return?
3) What is its correlation with the market return?
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