10.35 Suppose the risk-free rate is 6.3 percent and the market portfolio has an expected rate of...

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10.35 Suppose the risk-free rate is 6.3 percent and the market portfolio has an expected rate of return of 14.8 percent. The market portfolio has a variance of 0.0121. Portfolio Z has a correlation coefficient with the market of 0.45 and a variance of 0.0169. According to the CAPM, what is the expected rate of return on portfolio Z?

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Corporate Finance

ISBN: 9780071229036

6th International Edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe

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