Problem:

A portfolio that combines the risk-free asset and the market portfolio has an expected return of 6.9 percent and a standard deviation of 9.9 percent. The risk-free rate is 3.9 percent, and the expected return on the market portfolio is 11.9 percent. Assume the capital asset pricing model holds.

Required:

Question: What expected rate of return would a security earn if it had a .44 correlation with the market portfolio and a standard deviation of 54.9 percent?

Note: Please show how you came up with the solution.