Assume the CAPM holds. You are holding a portfolio with the beta of 2 and the standard deviation of 60%. The expected return on the market portfolio is 15% and the standard deviation of returns on the market portfolio is 20%. The risk-free rate is 4%. How much more expected return without increase in the risk of your portfolio can you earn if you make your portfolio efficient? 11% more than I earn now 13% more than I earn now O 10% more than I earn now 17% more than I earn now My portfolio is already efficient, I cannot earn more without increasing the risk of my portfolio

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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Assume the CAPM holds. You are holding a portfolio with the beta of 2 and the
standard deviation of 60%. The expected return on the market portfolio is 15% and
the standard deviation of returns on the market portfolio is 20%. The risk-free rate is
4%. How much more expected return without increase in the risk of your portfolio
can you earn if you make your portfolio efficient?
11% more than I earn now
13% more than I earn now
10% more than I earn now
17% more than I earn now
My portfolio is already efficient, I cannot earn more without increasing the risk
of my portfolio
Transcribed Image Text:Assume the CAPM holds. You are holding a portfolio with the beta of 2 and the standard deviation of 60%. The expected return on the market portfolio is 15% and the standard deviation of returns on the market portfolio is 20%. The risk-free rate is 4%. How much more expected return without increase in the risk of your portfolio can you earn if you make your portfolio efficient? 11% more than I earn now 13% more than I earn now 10% more than I earn now 17% more than I earn now My portfolio is already efficient, I cannot earn more without increasing the risk of my portfolio
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