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Market portfolio and a standard deviation of percent

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A portfolio that combines the risk-free asset and the market portfolio has an expected return of 7 percent and a standard deviation of 10 percent. The risk-free rate is 4 percent, and the expected return on the market portfolio is 12 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a 0.45 correlation with the market portfolio and a standard deviation of 55 percent? (Do not round intermediate calculations. Round your answer to 2 decimal places. (e.g., 32.16)) Expected rate of return 23.80 %

Reference no: EM133073184

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