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A portfolio generates an annual return of 14%, a beta of 1.5, and a standard deviation of 16%. The market index return is 10% and
A portfolio generates an annual return of 14%, a beta of 1.5, and a standard deviation of 16%. The market index return is 10% and has a standard deviation of 12%. What is the M2 measure of the portfolio if the risk-free rate is 2%? Whats the weight in risk-free asset?
A. 4%; 75% B. 1%; 75% C. 4%; 25% D. 1%; 25%
The correct answer is D
how to calculate the weight in rf?
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