What is the expected return on the efficient portfolio with 20% standard dev 20% 11.5% 15.5% 12.5%

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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Suppose that the CAPM holds and the expected return on the market portfolio is
10%, the risk-free rate is 4%, the standard deviation of the market portfolio is 16%.
What is the expected return on the efficient portfolio with 20% standard deviation?
20%
11.5%
15.5%
12.5%
10%
Transcribed Image Text:Suppose that the CAPM holds and the expected return on the market portfolio is 10%, the risk-free rate is 4%, the standard deviation of the market portfolio is 16%. What is the expected return on the efficient portfolio with 20% standard deviation? 20% 11.5% 15.5% 12.5% 10%
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