A portfolio that combines the risk-free asset and the market portfolio has an expected return of...

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A portfolio that combines the risk-free asset and the market portfolio has an expected return of 9 percent and a standard dev

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Answer 1

Answer #1

Beta=Correlation with market*standard deviation of security/standard deviation of market=0.38*60%/16%=1.4250

Expected return=risk free rate+beta*(market return-risk free rate)=4.1%+1.4250*(11%-4.1%)=13.9325%

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