Expected Return on Portfolio with Lower Standard Deviation

B

To answer this question, we need to understand the relationship between expected return and standard deviation on the Markowitz efficient frontier. The Markowitz efficient frontier represents a set of portfolios that maximize expected return for a given level of risk (measured by standard deviation).

In Colin Pollard's current portfolio, the expected return is 15% and the standard deviation is 15%. He wants to move to a new portfolio on the Markowitz efficient frontier with a lower standard deviation of 10%. Given this information, we can make the following observations:

1. The Markowitz efficient frontier represents portfolios with the highest expected return for a given level of risk.
2. Moving to a portfolio with a lower standard deviation implies moving to a portfolio with less risk.

Based on these observations, we can conclude that Pollard's new portfolio will lie on the Markowitz efficient frontier but with less risk (lower standard deviation) than his current portfolio. However, there is no specific information given about the expected return on the new portfolio.

Therefore, we cannot determine the expected return of Pollard's new portfolio solely based on the information provided in the question. It is not possible to conclude whether the expected return will be equal to 10%, less than 10%, or greater than 10%. So, none of the answer choices (A, B, or C) can be determined with certainty.

It's important to note that the expected return on a portfolio is influenced by various factors such as asset allocation, individual security returns, and market conditions. Without additional information, it is not possible to determine the exact expected return of the new portfolio.