Problem
Suppose the risk free return is 3.21% and the market portfolio has an expected return of 9% and a volatility of 15%. The share of Unilever has a 30% volatility and a correlation with the market of 0.36.
• Question I: What is the beta of the share of Unilever With respect to the market?
• Question II: If CAPM holds, What is its expected return of the share of Unilever?