Question: The expected return and standard deviation of the market portfolio are 8% and 12%, respectively. The expected return of security A is 6%. The standard

The and standard deviation of the market are 8% and 12%, respectively. The of security A is 6%. The standard deviation of security B is 18%, and its specific risk is (10%)2. A that invests 1/3 of its value in A and 2/3 in B has a beta of 1. What are the risk-free rate and the of B according to the CAPM?

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We can derive B from 018 2 2 B 012 2 01 2 with solution B A 1... View full answer

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