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A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6 percent and a standard deviation of 9 percent.
A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6 percent and a standard deviation of 9 percent. The risk-free rate is 3 percent, and the expected return on the market portfolio is 11 percent. Assume the capital asset pricing model holds. |
What expected rate of return would a security earn if it had a .35 correlation with the market portfolio and a standard deviation of 54 percent? |
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