Question
The market portfolio has an expected return of 12 percent and a standard deviation of 10 per cent. The risk-free rate is 5 percent. What
The market portfolio has an expected return of 12 percent and a standard deviation of 10 per cent. The risk-free rate is 5 percent. What is the expected return (in %) on a well-diversified portfolio with a standard deviation of 7 percent? Please fill in your answer in %.
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Quantitative Investment Analysis
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
3rd edition
111910422X, 978-1119104544, 1119104548, 978-1119104223
