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Assume that the CAPM holds. The expected return of the market portfolio is 15%, and the standard deviation of the market portfolio is 25%. The
Assume that the CAPM holds. The expected return of the market portfolio is 15%, and the standard deviation of the market portfolio is 25%. The risk free rate is 5%. A friend of yours now claims that a portfolio exists that has an expected return of 12% with a standard deviation of 10%. Is it possible that this claim is true and this portfolio exists under this scenario? Why?
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