A portfolio that combines the risk-free asset

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A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6.1 percent and a standard deviation of 9.1 percent. The risk-free rate is 3.1 percent, and the expected return on the market portfolio is 11.1 percent. Assume the capital asset pricing model holds.

What expected rate of return would a security earn if it had a .36 correlation with the market portfolio and a standard deviation of 54.1 percent? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places (e.g., 32.16).)

Expected rate of return _________ %

Reference no: EM131593180

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