Question
The CAPM holds. The risk-free rate is 1%. The expected return on stock A, stock B, and the market portfolio are 13%, 15%, and 12%,
The CAPM holds. The risk-free rate is 1%. The expected return on stock A, stock B, and the market portfolio are 13%, 15%, and 12%, respectively. The return standard deviations of stock A, stock B, and the market portfolio are 30%, 35%, and 20%, respectively. If an investor targets a return standard deviation of 30%, what is the expected return of their optimal portfolio?
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International financial management
Authors: Jeff Madura
9th Edition
978-0324593495, 324568207, 324568193, 032459349X, 9780324568202, 9780324568196, 978-0324593471
