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What is the expected return of a portfolio

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Reference no: EM132680260

You observe the following information in a market where the CAPM holds:

beta expected return annual standard deviation

Stock A 1.5 15.0% 0.25

Stock B 1.2 13.2% 0.30

The correlation coefficient between stock A and the market is 60%.

What is the expected return of a portfolio that is split (perhaps unevenly) between the risk-free asset and the market, if this portfolio has a standard deviation of 0.07?

Reference no: EM132680260

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