This question involves both concepts and some simple calculations (please remember to guess and move on if you are stuck spend 3 4 minutes max) The CAPM implies that the market portfolio is the optimal risky portfolio, and thus is the best portfolio to use along with either borrowing or lending at the risk free rate of interest Consider the following assets or portfolios Asset Expected return Standard Deviation Covariance with the market A 9 0 9 2 not given B 12 0 13 5 not given C 13 0 15 6 not given D 6 0 8 0 0 000 If you If the CAPM holds, and one of these four asset or portfolios is the market portfolio, which one is the market portfolio Hint first, by inspection, you should know what the risk free rate must be (you will need it) Asset Portfolio A Asset Portfolio B Asset Portfolio C Asset Portfolio D Not enough information to know

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Question: This question involves both concepts and some simple calculations (please remember to guess and move on if you are stuck--spend 3-4 minutes max). The CAPM

This question involves both concepts and some simple calculations (please remember to guess and move on if you are stuck--spend 3-4 minutes max). The CAPM implies that the market portfolio is the optimal risky portfolio, and thus is the best portfolio to use along with either borrowing or lending at the risk-free rate of interest. Consider the following assets or portfolios:

Asset	Expected return	Standard Deviation	Covariance with the market

A	9.0%	9.2%	not given
B	12.0%	13.5%	not given
C	13.0%	15.6%	not given
D	6.0%	8.0%	0.000%

If you If the CAPM holds, and one of these four asset or portfolios is the market portfolio, which one is the market portfolio? Hint:: first, by inspection, you should know what the risk free rate must be (you will need it).

		Asset/Portfolio A
		Asset/Portfolio B
		Asset/Portfolio C
		Asset/Portfolio D
		Not enough information to know

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