Question: Consider a portfolio with an expected return E(rP) = 20%; the standard deviation of this portfolio s returns is sigmaP = 30%. The expected return

  1. Consider a portfolio with an expected return E(rP) = 20%; the standard deviation of this portfolio s returns is sigmaP = 30%. The expected return for the market is E(rM) = 15% and the standard deviation of market s returns is sigmaM = 20%. The risk free rate is if rf = 5%. Answer the following question based on this information. Assuming CAPM holds true for the above portfolio, what should be its beta?

    1.0

    1.5

    4.2

    - 0.7

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