Suppose the risk-free rate is 3.9 percent and the market portfolio has an expected return of 11.4

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Suppose the risk-free rate is 3.9 percent and the market portfolio has an expected return of 11.4 percent. The market portfolio has a variance of .0315. Portfolio Z has a correlation coefficient with the market of .32 and a variance of .3192. According to the capital asset pricing model, what is the expected return on Portfolio Z?

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Corporate Finance

ISBN: 9781265533199

13th International Edition

Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe

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