Adequate information: Risk-free rate (R f ) = 4.4% or 0.044 Market expected return [E(R M )] = 10.90% or 0.109 Market variance (σ M )2 = 0.0391 Portfolio correlation with market (ρ Z , M ) = 0.31 Variance of Portfolio Z (σ Z )2 = 0.3407 To compute: Expected return on Portfolio Z. Introduction: Expected return on the portfolio refers to the return that is anticipated on the portfolio as a whole.

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Chapter 11, Problem 32QAP

Summary Introduction

Adequate information:

Risk-free rate (R_f) = 4.4% or 0.044

Market expected return [E(R_M)] = 10.90% or 0.109

Market variance (σ_M)2 = 0.0391

Portfolio correlation with market (ρ_Z_,_M) = 0.31

Variance of Portfolio Z (σ_Z)2 = 0.3407

To compute: Expected return on Portfolio Z.

Introduction: Expected return on the portfolio refers to the return that is anticipated on the portfolio as a whole.

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