Question: Use the following to answer question 4: Security Return Standard Deviation Beta A 15% 8% 1.2 B 12% 14% 0.9 Risk-free asset 5% 0 0
Use the following to answer question 4: Security Return Standard Deviation Beta A 15% 8% 1.2 B 12% 14% 0.9 Risk-free asset 5% 0 0 4. What is the portfolio expected return with 125% invested in A and the difference in the risk-free asset via borrowing at the risk-free interest rate (Hint: The weight could be negative as long as the sum of the weights equals 1)?A) 9.8% B) 11.3% C) 16.8% D) 17.5% E) 20.1%
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