a) Given that one of these portfolio's is the GMVP, what is the expected return of...

 

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a) Given that one of these portfolio's is the GMVP, what is the expected return of the GMVP? (0.5 marks) Enter your answer to 3 decimal places eg if your answer is 6.54% enter as 0.065. Consider the following seven (7) portfolios plotted with the Minimum Variance Frontier. Assume all portfolios, except portfolio G, are fairly priced according to the CAPM: A B C D E IF Expected Return G 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 0.0% 5.0% Minimum Variance Frontier 12.2% 20.2% 23.6% 26.4% 15.0% 20.2% 3.0% A 10.0% B E 15.0% Standard Deviation C 11.4% 15.7% 19.5% 22.7% 15.7% 22.5% 19.0% G 20.0% D The risk-free rate in the market is 8.0%. The return and risk of each of the seven portfolios is as follows: Portfolio Expected Return Standard Deviation Fo 25.0% 30.0% a) Given that one of these portfolio's is the GMVP, what is the expected return of the GMVP? (0.5 marks) Enter your answer to 3 decimal places eg if your answer is 6.54% enter as 0.065. Consider the following seven (7) portfolios plotted with the Minimum Variance Frontier. Assume all portfolios, except portfolio G, are fairly priced according to the CAPM: A B C D E IF Expected Return G 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 0.0% 5.0% Minimum Variance Frontier 12.2% 20.2% 23.6% 26.4% 15.0% 20.2% 3.0% A 10.0% B E 15.0% Standard Deviation C 11.4% 15.7% 19.5% 22.7% 15.7% 22.5% 19.0% G 20.0% D The risk-free rate in the market is 8.0%. The return and risk of each of the seven portfolios is as follows: Portfolio Expected Return Standard Deviation Fo 25.0% 30.0%

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The portfolio with the lowest variance or sta... View the full answer