Question
The market portfolio has an expected return of 12.4 percent and a standard deviation of 22.4 percent. The risk-free rate is 5.4 percent. a. What
| The market portfolio has an expected return of 12.4 percent and a standard deviation of 22.4 percent. The risk-free rate is 5.4 percent. |
| a. | What is the expected return on a well-diversified portfolio with a standard deviation of 9.4 percent |
| b. | What is the standard deviation of a well-diversified portfolio with an expected return of 20.4 percent? |
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Handbook Of Quantitative Finance And Risk Management
Authors: Cheng-Few Lee, John Lee
2010th Edition
0387771166, 978-0387771168
