Beta and CAPM A portfolio that combines the risk-free asset and the market portfolio has an expected return of 8 percent and a standard deviation of 17 percent. The risk-free rate is 4.3 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 .45 correlation with the market portfolio and a standard deviation of 60 percent?