You have a portfolio that consists of 15% investment in stock A, 30% in stock B, 40% in stock C, 10% in stock D and 5% in stock E, these stocks have following further information available:

 reasury bills currently offer a return of 5%, the expected market premium is 8% and variance of market portfolio is 0.0036. Calculate the expected return on your portfolio according to the CAPM.

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Stock ABUD А C E Standard deviation 0.05 0.10 0.07 0.12 0.08 Correlation with the market 0.35 0.8 0.15 0.67 0.24 Stock ABUD А C E Standard deviation 0.05 0.10 0.07 0.12 0.08 Correlation with the market 0.35 0.8 0.15 0.67 0.24

Answer rating: 100% (QA)

CAPM Expected return on the portfolio Riskfree rate ... View the full answer