"volatility of the market portfolio" onwards

Suppose you group all the stocks in the world into mutually exclusive portfolios (each stock is in only one portfolio): growth stocks and value stocks. Suppose the two portfolios have equal size (in terms of total value), a correlation of 0.5, and the following characteristics: The risk free-rate is 3% a. What is the expected return and volatility of the market portfolio (which is a 50-50 combination of the two portfolios)? b. Calculate the Sharpe ratios of the value stock, growth stock, and market portfolio c. Does the CAPM hold in this economy? (Hint: Is the market portfolio officient?) a. What is the expected return and volatility of the market portfolio (which is a 50-50 combination of the two portfolios)? The expected return of the market portfolio is 12.5 % (Round to one decimal place.) The volatility of the market portfolio is % (Round to one decimal place.) - X Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Expected Return Volatility Value Stocks 10% 9% Growth Stocks 15% 21% Print Done Haln me nye this View an example Get more help Clear all Check