Question: Stock A has a return variance (that is 2 ) of 0.02. The market portfolio has a return variance of 0.03. The covariance between stock

Stock A has a return variance (that is ²) of 0.02. The market portfolio has a return variance of 0.03. The covariance between stock As return and market portfolios return is 0.01. Stock A has an expected return of 9%, while the market has an expected return of 12%. What is the beta from a regression of stock As return on the market return?

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