Reconsider the mutual fund manager in Problem 20. How could you mix a stock index mutual fund with a risk-free position in Treasury bills (or a money market mutual fund) to create a portfolio with the same risk as the manager's but with a higher expected rate of return? What is the rate of return on that portfolio?

In problem 20 A mutual fund manager expects her portfolio to earn a rate of return of 11 % this year. The beta of her portfolio is .8. If the rate of return available on risk-free assets is 4% and you expect the rate of return on the market portfolio to be 14%, what expected rate of return would you demand before you would be willing to invest in this mutual fund?