The risk-free rate is 2%, the expected return of the market portfolio is 8%, and the standard deviation of the return of the market portfolio is 15%. Consider a portfolio of Biotech stocks with an expected return of 11% and a standard deviation of 45%. Suppose the CAPM holds.

A) What is the beta of this portfolio?

B) How does it relate to market returns? (Note: Your answer must be a number between -1 and 1.)

Answer rating: 100% (QA)

A The CAPM equation is Expected Return RiskFree Rate Beta x Expected Market Return RiskFree R... View the full answer