Question
Assume that the market is in equilibrium and you are given the following data on securities A and B and the market portfolio. Security Expected
Assume that the market is in equilibrium and you are given the following data on securities A and B and the market portfolio.
| Security | Expected return | Cov. With A | Cov. With B | Cov. With M |
|---|---|---|---|---|
| A | 10% | 0.04 | ||
| B | 6.23% | 0.06 | 0.30 | |
| Market Portfolio | 7% | ???? | 0.05 | 0.09 |
The risk-free rate is 3%. Based on the information provided in the previous question, suppose you can form any portfolio from stocks A and B, with short selling and no leverage. You want expected returns of 15%. What will the standard deviation of your portfolio be closest to?
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Contemporary Auditing
Authors: Michael C. Knapp
9th Edition
1133731244, 9781133731245
