Question: Suppose you have 1 dollar. How would you combine AFK and MKT to create a portfolio with no market risk but with an expected return higher than the risk-free rate?

3. You run a CAPM regression on the trading strategy AFK. The annualized results are below: Variable Coefficient Lower 95% Upper 95% Intercept 0.03 0.01 0.05 I'M- 1.10 1.005 1.195 At the same time, you estimate that the market portfolio has a Sharpe Ratio of 0.5 and a standard deviation of returns equal to 20%. The risk-free rate is 1%. 3. You run a CAPM regression on the trading strategy AFK. The annualized results are below: Variable Coefficient Lower 95% Upper 95% Intercept 0.03 0.01 0.05 I'M- 1.10 1.005 1.195 At the same time, you estimate that the market portfolio has a Sharpe Ratio of 0.5 and a standard deviation of returns equal to 20%. The risk-free rate is 1%