Question: What is the required return of asset class A based on ICAPM and the illiquidity premium? The numbers below are in decimals. For instance, the

What is the required return of asset class A based on ICAPM and the illiquidity premium? The numbers below are in decimals. For instance, the 0.02 risk-free interest rate means the risk-free interest rate is 2%. 0.28 Sharpe ratio of global investment market 0.60 Correlation of asset class A with the global investment market 0.20 Standard deviation asset class A 0.35 Sharpe ratio of asset class A 0.40 Percent of asset class A that is segmented 0.04 Illiquidity premium 0.02 Risk-free interest rate Recall: the Sharpe ratio is the risk premium divided by the standard deviation. ENTER YOUR answer with three decimal points. For example, if your answer is 4.5%, please enter 0.045. IMPORTANT: DO NOT ROUND INTERMEDIATE STEPS.

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