What is the standard deviation of an efficient portfolio with an 8 percent expected return? Assume the risk-free rate is 3.75 percent and the expected return on the market portfolio is 10 percent with a standard deviation of 20 percent.
A) 2.62%
B) 6.40%
C) 6.80%
D) 13.60%

Question

Quizplus · Accepted Answer

Weight in market portfolio,11ea8229_34c6_6a80_bbd8_eb2b6d4e1344_TB1726_11 Weight in risk free asset = 1 - 0.68 = 0.32
Portfolio standard deviation, 11ea8229_34c6_6a81_bbd8_0d6e2b5e90ff_TB1726_11

What Is the Standard Deviation of an Efficient Portfolio with an 8