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Assume the CAPM holds. Rf5%. The market portfolio has an expected return of 20% and standard deviation 20%. Portfolios A and B have the same expected return of 12% and same standard deviation of 30%. Based on the above information, the correlation coefficient between A and B has to be higher than or equal to bound. Enter a decimal number, not a percentage. Round your answer to 3 decimal places.) (Enter the tightest lower

Assume the CAPM holds. Rf5%. The market portfolio has an expected return of 20% and standard deviation 20%. Portfolios A and B have the same expected return of 12% and same standard deviation of 30%. Based on the above information, the correlation coefficient between A and B has to be higher than or equal to bound. Enter a decimal number, not a percentage. Round your answer to 3 decimal places.) (Enter the tightest lower

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Assume the CAPM holds. Rf5%. The market portfolio has an expected return of 20% and standard deviation 20%. Portfolios A and B have the same expected return of 12% and same standard deviation of 30%. Based on the above information, the correlation coefficient between A and B has to be higher than or equal to bound. Enter a decimal number, not a percentage. Round your answer to 3 decimal places.) (Enter the tightest lower
Transcribed Image Text:Assume the CAPM holds. Rf5%. The market portfolio has an expected return of 20% and standard deviation 20%. Portfolios A and B have the same expected return of 12% and same standard deviation of 30%. Based on the above information, the correlation coefficient between A and B has to be higher than or equal to bound. Enter a decimal number, not a percentage. Round your answer to 3 decimal places.) (Enter the tightest lower
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