The expected return on the market is 12.5 percent with a standard deviation of 25 percent.The risk-free rate is 5.5 percent.What is the expected return on an efficient portfolio with a standard deviation of 30 percent?
A) 4.10%
B) 11.33%
C) 13.90%
D) 28.90%

Question

Quizplus · Accepted Answer

Weight in market portfolio,11ea8229_34c5_ce3e_bbd8_bbce9d896333_TB1726_11,Weight in risk free asset = 1 - 1.20 = -0.20
Portfolio expected return, 11ea8229_34c5_f54f_bbd8_e5a8f3ef004c_TB1726_11

The Expected Return on the Market Is 12