The average returns, standard deviation and betas for three funds and the S&P are given below. The risk-free rate is 3%. Use Fund A the risk-free asset to create a complete portfolio that has the same standard deviation as the market portfolio. What is the expected return of this complete portfolio? Fund Avg. Return Std. Dev Beta A 16% 30% 1.1 B 18% 25% 1.2 C 22% 35% 1.3 S&P 500 14% 20% 1.0
The average returns, standard deviation and betas for three funds and the S&P are given below. The risk-free rate is 3%. Use Fund A the risk-free asset to create a complete portfolio that has the same standard deviation as the market portfolio. What is the expected return of this complete portfolio? Fund Avg. Return Std. Dev Beta A 16% 30% 1.1 B 18% 25% 1.2 C 22% 35% 1.3 S&P 500 14% 20% 1.0
Chapter8: Risk And Rates Of Return
Section: Chapter Questions
Problem 9PROB
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The average returns, standard deviation and betas for three funds and the S&P are given below. The risk-free rate is 3%. Use Fund A the risk-free asset to create a complete portfolio that has the same standard deviation as the market portfolio. What is the expected return of this complete portfolio?
Fund |
Avg. Return |
Std. Dev |
Beta |
A |
16% |
30% |
1.1 |
B |
18% |
25% |
1.2 |
C |
22% |
35% |
1.3 |
S&P 500 |
14% |
20% |
1.0 |
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