CAPM securities

risk free rate 2%

expected excess return on market portfolio 12% (market risk premium)

standard deviation 20%

Proposed portfolios:

1) Frank: expected return 0.07, standard deviation 0.10

2) Jenny: expected return 0.20, standard deviation 0.30

3) John: expected return: 0.12, standard deviation 0.15

question:

1)which proposal to choose and why

2)how can expected return of the chosen proposal be achieved? specify the amount invested in each asset/potfolio of assets

3)what is the beta of the winning portfolio

4) expected wealth of the chosen proposal at the end of the year (after one year)?