Your investment portfolio consists of $10,000 shares of Dell. The expected return on Dell is 11%, with a standard deviation (volatility) of 43%. Suppose the risk-free rate is 4%, the expected return on the market is 9% and the volatility of the market is 18%.

a) Find a portfolio on the Capital Market Line has the same expected return as Dell. What is the volatility of that portfolio? What mix of the market portfolio and the risk-free asset would give you that portfolio?

b) Find a portfolio on the Capital Market Line has the same volatility as Dell. What is the expected return on that portfolio? What mix of the market portfolio and the risk-free asset would give you that portfolio?

c) Plot the capital market line, Dell, and the two portfolios that you identified above.

d) Plot the securities market line. If CAPM holds, based on the above information, what must be Dells beta? Plot Dell on the SML.