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35. 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

35. 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 beta of securities on the Security Market Line

(SML) with () and , respectively. Which statement is TRUE? A) The beta of a CML portfolio that contain 150% of the market portfolio and 50% borrowed money

is 1.25. B) The SML can be represented by the following equation:

C) The slope of the SML line is . D) A security with equal to 1.45 has an expected return of 19.5% Ans: D

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