You currently have $100,000 invested in a Portfolio A that has an expected return of 8% and a volatility of 12%. Suppose the risk-free rate is 5%, and the efficient market portfolio M has an expected return of 12% and a volatility of 20%.
 

a. What portfolio combination of the risk-free asset and Portfolio M has a higher expected return than your Portfolio A but with the same volatility of 12%?
 

b. What portfolio combination of the risk-free asset and Portfolio M has a lower volatility than your Portfolio A but with the same expected return of 8%?

Answer rating: 100% (QA)

a To find a portfolio combination of the riskfree asset and Portfolio M with the same volatility of ... View the full answer