Combines the risk-free asset and the market portfolio

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A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6.3 percent and a standard deviation of 9.3 percent. The risk-free rate is 3.3 percent, and the expected return on the market portfolio is 11.3 percent. Assume the capital asset pricing model holds. What expected rate of return would a security earn if it had a .38 correlation with the market portfolio and a standard deviation of 54.3 percent?

Reference no: EM131072284

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