A poorly diversified investor has a portfolio p with a beta of $0\mathrm{.}75.$ The standard

deviation of p$$s annual return is $36$ percent $(0\mathrm{.}36).$

$$ The return on the riskless asset f is $4$ percent per year.

$$ The expected return on the market portfolio of risky assets m is $12$ percent per

year, and the standard deviation of m$$s annual return is $18$ percent $(0\mathrm{.}18).$

$$ Assume that the CAPM holds.

F$303$ Intermediate Investments $-$ Dmitry Chebotarev