Question $3$

Consider a CAPM world. The risk$-$free rate is $2\%.$ The expected return on the market

portfolio is $8\%,$ and the standard deviation of the return on the market portfolio is $20\%.$

Consider a portfolio XYZ with an expected return of $14\%$ and a standard deviation of $50\%.$

What's the idiosyncratic risk of XYZ$?$

None of the options is correct.

$0\mathrm{.}08$

$0\mathrm{.}09$

$0\mathrm{.}06$

$0\mathrm{.}1$