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(1) In the CAPM world, an individual risky asset A has the following characteristics: E(TA) 10%, BA = 1.2, and the risk-free rate is 1%.

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(1) In the CAPM world, an individual risky asset A has the following characteristics: E(TA) 10%, BA = 1.2, and the risk-free rate is 1%. What is the expected market return E(TM) in this economy? (4 points)

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