题目
Assume the risk-free rate is 4% and the expected (overall) market return is 12% with 20% volatility. Our portfolio (P) has volatility of 30% and a correlation with the market of 0.4. According to CAPM, what is the portfolio's expected return?
选项
A.6.0%
B.8.8%
C.11.2%
D.12.0%
答案
B
解析
「huixue_img/importSubject/1564170577697181696.png」