Question: Construct a portfolio with an 8.5% return: Expected return: Alpha 7% Beta 12% SD: Alpha 8% Beta 15% Beta: Alpha 0.6% Beta 1.8% Risk free

Construct a portfolio with an 8.5% return:

Expected return: Alpha 7% Beta 12%

SD: Alpha 8% Beta 15%

Beta: Alpha 0.6% Beta 1.8%

Risk free Rate : Alpha 2.5% Beta 2.5%

Expected beta = ?

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