33. Assume the expected return on the market portfolio is 15% and its standard deviation is 12%. The risk-free rate is 5%. Denote the expected return and standard deviation of portfolios on the Capital Market Line (CML) with () and SD, respectively. Which statement on the CML is FALSE? A) The Sharpe ratio of a CML portfolio that contain 150% of the market portfolio and 50% borrowed money is smaller than 1.

B) The CML can be represented by the following equation: () = 0.05 + .

C) The standard deviation of a CML portfolio that contains 50% savings and 50% of the market portfolio equals 12%. D) The expected return of a CML portfolio that contains 150% of the market portfolio and 50% borrowed money is 20%.

Ans: C