Beta and CAPM Suppose the risk-free rate is 6.3 percent and the market portfolio has an expected
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Beta and CAPM Suppose the risk-free rate is 6.3 percent and the market portfolio has an expected return of 14.8 percent. The market portfolio has a variance of .0498. Portfolio Z has a correlation coefficient with the market of .45 and a variance of .1783. According to the capital asset pricing model, what is the expected return on portfolio Z? LO.1
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