Question: It is given to us that the expected return on the market portfolio is En-12%, and the standard deviation of the market portfolio -10%. (Keep

It is given to us that the expected return on the

It is given to us that the expected return on the market portfolio is En-12%, and the standard deviation of the market portfolio -10%. (Keep 4 decimal places to all answers, e.g. xxx.1234.) (a) Larry told you that by investing 70% his money in the market portfolio, and the rest in the risk-free asset, he can achieve an expected return of 9.9%, while being on the Capital Market Line (CML). What is the risk-free rate? What is the standard deviation of his portfolio? What is the price of risk? Risk-free rate rf: Standard deviation of the portfolio Price of risk: (b) Barb wants to achieve an expected return of 19% on the CML. What is the standard deviation of her portfolio? In what proportions should she invest in the market portfolio and the risk-free asset? Standard deviation of her portfolio: Proportation in market portfolio Proportation in risk-free asset

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