Given an optimal risky portfolio with expected return of 12% and standard deviation of 23% and a risk free rate of 3%,what is the slope of the best feasible CAL?
A)0.64
B)0.39
C)0.08
D)0.35
E)0.36

Question

Quizplus · Accepted Answer

The slope of the CAL is given by:
$$
\frac{E[R_{p}}-R_f}{\sigma_{p}} = \frac{0.12-0.03}{0.23}=0.3913 \approx 0.39
$$
Therefore, the slope of the best feasible CAL is 0.39. The only choice that matches is B.

Given an Optimal Risky Portfolio with Expected Return of 12