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Consider a CAPM world. The risk-free rate is 2%. The expected return on the market portfolio is 10%, and the standard deviation of the return
Consider a CAPM world. The risk-free rate is 2%. The expected return on the market portfolio is 10%, and the standard deviation of the return on the market portfolio is 20%. Consider a portfolio XYZ with an expected return of 6% and assume that XYZ is on the efficient frontier. What's the variance of XYZ?
Group of answer choices
A0.024
B0.016
C0.02
D0.01
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