Question: From 2012 to 2020, the R-squared from a CAPM regression for ABC stock was 0.18, the Beta was 0.90 and the standard error was 0.21.

From 2012 to 2020, the R-squared from a CAPM regression for ABC stock was 0.18, the Beta was 0.90 and the standard error was 0.21. What percentage of the total risk from ABC stock can be diversified away?

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