Assume both portfolios A and B are well diversified, that E(rA) = 14% and E(rB) = 14.8%.

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Assume both portfolios A and B are well diversified, that E(rA) = 14% and E(rB) = 14.8%. If the economy has only one factor, and βA = 1 while βB = 1.1, what must be the risk-free rate?

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Essentials of Investments

ISBN: 978-0077835422

10th edition

Authors: Zvi Bodie, Alex Kane, Alan J. Marcus

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Question Posted: Nov 30, 2017 10:09 AM

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Assume both portfolios A and B are well diversified, that E(rA) = 14% and E(rB) = 14.8%.

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Substituting the portfolio returns and betas in the meanbeta relationship ...View the full answer

Essentials of Investments

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