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2 c. The market index has average return 8% and standard deviation 25%. The risk-free rate is 3%. A portfolio A has beta 0.9, idiosyncratic

2 c.

The market index has average return 8% and standard deviation 25%. The risk-free rate is 3%. A portfolio A has beta 0.9, idiosyncratic variance of 0.05, and an M²-measure of 0.02. What is the average return on the portfolio?

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