Portfolio exhibiting an expected return


Problem: Consider a portfolio exhibiting an expected return of 20% in an economy in which the riskless interest rate is 8%, the expected return to the market portfolio is 13%, and the standard deviation of the return to the market portfolio is .25. Assuming this portfolio is efficient, determine:

a. Its beta

b. The standard deviation of its return

c. Its correlation with the market return.

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Finance Basics: Portfolio exhibiting an expected return
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