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QUESTION
Suppose that the market portfolio has an expected return of 11% and a standard deviation of 15%, and the risk free rate is 4%.
Suppose that the market portfolio has an expected return of 11% and a standard deviation of 15%, and the risk free rate is 4%.
According to the CAPM, what expected rate of return should a project have if it has a correlation with the market of 0.30 and a standard deviation of 30%?
- 5.5%
- 10.1%
- 3.9%
- 7.5%
- 8.2%
