Problem
The market portfolio has an expected return of 12.11% and a standard deviation of 14.60%. The risk-free interest rate for both deposits and lending is 3.05%. You are offered to invest in a portfolio that only contains risk-bearing assets. The portfolio has an expected return of 6.26% and a standard deviation of 7.30%. You make the assessment that the market fulfills the assumptions required for the CAPM to hold and therefore investigate whether the portfolio is optimal according to the CAPM. How would you weight a CAPM optimal portfolio that has the same standard deviation as the portfolio you were offered? Enter the weight of the market portfolio and round your answer to two decimal places, e.g. have you calculated a holding in the market portfolio of 7.21% then answer 0.07.