What must be the standard deviation of the return

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Question: Assume that the Capital Asset Pricing Model (CAPM) holds. The risk-free rate is 4.4% (EAR). The expected return on the market portfolio is 11.6% (EAR), and the standard deviation of the return on the market portfolio is 29.7%. You hold a mean-variance efficient portfolio with a beta of 1.4.

What must be the standard deviation of the return on your portfolio, in %? (Please report your answer as a %, not a decimal. For instance, if the standard deviation of the portfolio return is 8.5%, please enter 8.5 in the answer box, not 0.085.)

Reference no: EM133430434

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