Question
Suppose the risk-free rate is 3.2 percent and the market portfolio has an expected return of 9.9 percent. The market portfolio has a variance of
| Suppose the risk-free rate is 3.2 percent and the market portfolio has an expected return of 9.9 percent. The market portfolio has a variance of .0282. Portfolio Z has a correlation coefficient with the market of .18 and a variance of .3185 |
| According to the capital asset pricing model, what is the expected return on Portfolio Z? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) |
| Expected return | % |
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Peggy L. Hedges, Philip Chang, Keith C. Brown, Hedges Reilly Brown
1st Canadian Edition
0176500693, 978-0176500696
