Combines the risk-free asset and the market portfolio

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A portfolio that combines the risk-free asset and the market portfolio has an expected return of 7.2 percent and a standard deviation of 10.2 percent. The risk-free rate is 4.2 percent, and the expected return on the market portfolio is 12.2 percent. Assume the capital asset pricing model holds.

What expected rate of return would a security earn if it had a .47 correlation with the market portfolio and a standard deviation of 55.2 percent? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

Reference no: EM131177964

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