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1.2. The risk-free rate is 6%, the expected return on the market portfolio is 14%, and...

1.2. The risk-free rate is 6%, the expected return on the market portfolio is 14%, and the standard deviation of the return on the market portfolio is 25%. Consider a portfolio with expected return of 16% and assume that it is on the efficient frontier.

1.2.1. Calculate the beta of this portfolio (4).

1.2.2. Calculate the standard deviation of its return (5).

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Answer #1

Beta of this portfolio = 1.25

Standard deviation of this portfolio = 31.25%

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