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What is the standard deviation of the returns expected

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A) Lancelot Fund Management has found the Holy Grail; a mean-variant efficient portfolio of stocks with an expected return of 25% p.a., a beta of 1.5, and a standard deviation of expected returns of 20% p.a. If the risk-free rate is 7% p.a. deduce the expected market return and standard deviation.

B) Supposing Arthur wished to invest $50,000in Lancelot's portfolio (in part (a)) and $50,000 in risk-free securities:

1. What is the standard deviation of the returns expected from Arthur's investment?

2. What is the beta of Arthur's investment?

Reference no: EM133051758

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