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- September 13, 2020
- By menge

Suppose that many stocks are traded in the market and that it is possible to borrow at the risk-free rate, r |

Stock | Expected Return | Standard Deviation | ||||

A | 7 | % | 45 | % | ||

B | 10 | % | 55 | % | ||

Correlation = ?1 | ||||||

a. |
Calculate the expected rate of return on this risk-free portfolio? (Hint: Can a particular stock portfolio be substituted for the risk-free asset?) (Round your answer to 2 decimal places.) |