You are given: (1) The risk-free interest rate is 0.04 (i) The market Portfolio has an expected return of 0.12 and a volatility of 0.2 A stock has a correlation with the market of 0.3 and a volatility of 0.6 a) find the expected return on the stock. b) what are the expected return and volatility of an efficient portfolio that has the same systematic risk as the stock?

You are given: (1) The risk-free interest rate is 0.04 (i) The market Portfolio has an expected return of 0.12 and a volatility of 0.2 A stock has a correlation with the market of 0.3 and a volatility of 0.6 a) find the expected return on the stock. b) what are the expected return and volatility of an efficient portfolio that has the same systematic risk as the stock?

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter2: Risk And Return: Part I

Section: Chapter Questions

Problem 8MC

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