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Calculating the market portfolio

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There are three portfolios, A, B, and C, and one of those is the market portfolio. Portfolio A's expected return and standard deviation are 10% and 20%, respectively. Portfolio B's expected return and standard deviation are 12% and 22%, respectively. Portfolio C's expected return and standard deviation are 14% and 26%, respectively. According to the CAPM, if the risk-free rate is 0.8%, which must be the market portfolio? (Hint: the market portfolio must, according to the CAPM, be the optimal risky portfolio.)

Reference no: EM132953044

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