Suppose A is the market portfolio with expected return m = 5% and standard deviation of return Om = 1 and B is an efficient portfolio with expected return µg = 7% and standard deviation of return B 1.5. (a) Determine the return of riskless asset. (b) If there exists another portfolio C with Bc = 2, what condition is needed in order to obtain its standard deviation σc using capital market line? Compute σ assuming the necessary condition holds.
