Correlation with the market portfolio-standard deviation

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A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6.8 percent and a standard deviation of 9.8 percent. The risk-free rate is 3.8 percent, and the expected return on the market portfolio is 11.8 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .43 correlation with the market portfolio and a standard deviation of 54.8 percent? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

Reference no: EM131820793

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