What is its correlation with the market

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(a)The expected return on a given efficient portfolio is 25% and its standard deviation is 4%. Suppose that the risk-free rate is 5% and the expected return on the market portfolio of risky assets is 20%. In this environment, what expected rate of return would a security earn if it had a 0.5 correlation with the market and a standard deviation of 2%? (b) What is the beta of an efficient portfolio with rp = 20% if rf = 5%, rm = 15%, and σm = 20%? What is its standard deviation? What is its correlation with the market?

Reference no: EM131328725

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