What is the standard deviation of an efficient portfolio with a 7.5% expected rate of return, given that RF is 0.50%, ER_m is 6.0% and $\sigma$_m is 21%? A)28.10% B)3.56% C)1.50% D)26.69%

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Quizplus · Accepted Answer

The standard deviation of an efficient portfolio can be calculated using the Capital Market Line (CML) formula: $\sigma_p = \frac{E(R_p) - R_f}{E(R_m) - R_f} \times \sigma_m$. Plugging in the values: $\sigma_p = \frac{7.5\% - 0.5\%}{6.0\% - 0.5\%} \times 21\% = 28.10\%$.

What Is the Standard Deviation of an Efficient Portfolio with a 7.5