There are three portfolios and a risk-free asset

Portfolio	Expected Return (%)	Standard Deviation (%)
A	4	10
B	8	20
C	6	15
Notes	1	0

rho(A,B) = 1; rho(A,C) = .2; rho(B,C) =.2. rho is correlation coefficient.

1. Which portfolio yields the highest risk-premium/standard deviation or reward-to-volatility ratio?

2. What is the difference of returns (in absolute value) across the portfolios of Mr. Tiger and Mr. Zoom?

a) 0.50

b) 0.04

c) 0.08

d) 0.02

3. What is the slope of the CAL at portfolio B?

4. The reward-to-volatility ratio of the CML is generally _______ the reward-to-volatility ratio of any CAL.

a) higher than

b) lower than

c) the same as