you currently own $100000 worth of Wal-Mart stock. Suppose that Wal-Mart has an expected return of 15% and a volatility of 35%. The market portfolio has an expected return of 12% and a volatility of 16%. The risk free rate is 5%. Assuming the CAPM assumption holds, what alternative investment has the lowest possible volatility while have the same expected return as Wall-Mart? What is the volatility of this portfolio?

Calculate CAPM

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