A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6.2 percent and a standard deviation of 9.2 percent. The risk-free rate is 3.2 percent, and the expected return on the market portfolio is 11.2 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .37 correlation with the market portfolio and a standard deviation of 54.2 percent? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)
A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6.2 percent and a standard deviation of 9.2 percent. The risk-free rate is 3.2 percent, and the expected return on the market portfolio is 11.2 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .37 correlation with the market portfolio and a standard deviation of 54.2 percent? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 20P
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