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You are holding a portfolio of stocks where the beta of your portfolio is 2.5 and its correlation with M, the market portfolio, is.4. The
You are holding a portfolio of stocks where the beta of your portfolio is 2.5 and its correlation with "M", the market portfolio, is.4. The risk-free rate is 6%, the expected return on the market portfolio is 12%, and the standard deviation of the return on the market portfolio is 20%. How much additional expected return could you achieve, at no increase in risk (standard deviation), by making your portfolio efficient?
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