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21. Suppose that the correlation of the return of a portfolio with the return of its benchmark is 0.8, the volatility of the return of
21. Suppose that the correlation of the return of a portfolio with the return of its benchmark is 0.8, the volatility of the return of the portfolio is 6%, and the volatility of the return of the benchmark is 4%. What is the beta of the portfolio? A. 1.00 B. 0.80 C. 1.20 D. -1.00
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