Assume that both portfolios A and B are well diversified, that E( rA) = .12, and E(

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Assume that both portfolios A and B are well diversified, that E( rA) = .12, and E( rB) = .09. If the economy has only one factor, and ßA = 1.2 whereas ßB = .8, what must the risk- free rate be?

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Investments

ISBN: 978-0071338875

8th Canadian Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus, Stylianos Perrakis, Peter

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