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The return of portfolio A is 25%, the market risk premium is 13%, the volatility of the market portfolio is 14%, and the risk-free rate is 5.5%. Portfolio A has a beta of 1.5. According to the capital asset pricing model, which of the following statements is true?
- The expected Return of Portfolio A is less than the expected return of the market portfolio.
- The expected return of Portfolio A is greater than the expected return of the market portfolio.
- The return of Portfolio A has lower volatility than the market portfolio.
- The expected return of Portfolio A is equal to the expected return of the market portfolio.
Answer: B
According to the CAPM, the required return of Portfolio A is
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While the expected return on the market is
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Therefore, the expected return of Portfolio A is greater than the expected return of the market portfolio.
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