Question: Suppose the risk free return is 4 % and the market portfolio has an ecxpected return 1 0 % and a volatility of 2 0

Suppose the risk free return is 4% and the market portfolio has an ecxpected return 10% and a volatility of 20%. Stock ABC has a 30% volatitilty and a covariance with the market of 0.06. Suppose the CAPM holds. What is the expected return of stock ABC and what is the Beta ?

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