Exhibit 8.6 Use the Information Below for the Following Problem(S)

question 25

Multiple Choice

Exhibit 8.6
Use the Information Below for the Following Problem(S)
Jonathan Crowley is a portfolio manager for a large pension fund. Last year his portfolio had an actual return of 12.6% with a standard deviation of 13% and a beta of 1.3. The market risk premium for this period of time was 6% and the risk-free rate of return was 5%.
-Refer to Exhibit 8.6.Based on the Capital Asset Pricing Model (CAPM) ,what is the required rate of return for this portfolio?

• A) 6.3%
• B) 7.8%
• C) 10.6%
• D) 12.8%
• E) 15.4%

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