Question: The risk-free rate is 2%, the expected return on the market portfolio is 8%, and the standard deviation of the return on the market portfolio

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

A) What is the beta of this portfolio?

B) What is its correlation with the market return? (Note: Your answer should be a number between -1 and 1.)

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