Question: 19. The table below provides information on two securities assumed to constitute the market portfolio. Security Expected return Standard deviation Proportion A 10% 20% 0.40

19. The table below provides information on two securities assumed to constitute the market portfolio.

Security

Expected return

Standard deviation

Proportion

A

10%

20%

0.40

B

15%

28%

0.60

The correlation between the two securities is 0.3 and the risk-free rate is 5%.

Required:

Predict the capital market line (CML) equation for the portfolio.

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