Question: - 8%, %j 0.2, PjM Assume that: ro = 3%, M 0.8 where ro = the risk-free rate, M = the expected rate of

- 8%, %j 0.2, PjM Assume that: ro = 3%, M 0.8 where ro = the risk-free rate, M = the expected rate of return

- 8%, %j 0.2, PjM Assume that: ro = 3%, M 0.8 where ro = the risk-free rate, M = the expected rate of return on the market portfolio, , and M j are the standard deviations of the rate of return for asset j and the market portfolio, respectively, and PM = correlation of the rate of return on asset j with that of the market porfolio. The CAPM predicts: Select one: . O B. O C. A. B, 4.0 (where 3; = beta-coefficient for asset j) B. , = 3/2 = 1.5 C. j = 9% (where j = expected rate of return on asset j) D. = 6% E. None of the above. O D. = O E. = 0.3, OM = BE

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