Question: Total marks: 23 marks. Consider a miean-variance portfolio framework. The market portfolio, M. has an expected ruturn of a4 and standard deviation of 200 .

Total marks: 23 marks. Consider a miean-variance portfolio framework. The market portfolio, M. has an expected ruturn of a4 and standard deviation of 200 . The risk-fiee rate is 2 se. (1) An investor has a mean-variance utility function UF=E(rH)2.2, Calculate the standard devation of the optimal complete portfollo for this investor. (8 maris) (2) Consder an individual security 1 , its return has a corretation of 0.8 with the market portfolio, w0th. Caicutate the beta of security i. 7 marks) (3) The forecasted return of security iby the investor is 94 . is this security under- fairly. or over-priced according to ChpM? Explain your argument, IB marks

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