Originally Posted by
Macleef Efficient Portfolio 1:
E (R1) = 20%
SD1 = 10%
Efficient Portfolio 2:
E (R2) = 40%
SD2 = 30%
Market Portfolio:
E (Rm) = 25%
Security in a Market:
E(Rs) = 20%
SDs = 30%
Find CORREL of its return and market returns (holding all assumptions of CAPM).
How would you solve this problem? I thought using BETA = (CORREL*SD)/SD would be appropriate but I don't know what the beta value is. I also thought using E(R) = Rf + BETA(E(Rm) - Rf) would also work to find BETA, but I don't know the value of riskfree.