Question: Consider the capital asset pricing model. E (ri ) = rf + betai * [ E(rM )- rf )] E (ri ) is expected return

Consider the capital asset pricing model. E (ri ) = rf + betai * [ E(rM )- rf )] E (ri ) is expected return of asset i, rf is risk free rate, and E(rM) is expected return of the market portfolio. Show that beta of the market portfolio is 1.

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