16% 12% 13% 10%

Assume that two securities constitute the market portfolio. Those securities have the following expected returns, standard deviations, and weights in the market portfolio. Security B Expected Return 15% Standard Deviation 28% Weight 04 0.6 On the basis of this information, and a given correlation coefficient of 0.30 between the two securities and a risk-free rate of 5%, what is expected return on the tangency portfolio? 0 16% 0 12% 0 13% 0 10%