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3. Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds. The o of your

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3. Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds. The o of your portfolio was 0.25 and om was 0.21. The risk premium of index return is 8% and the risk-free interest rate is 2%. (1) What is the beta of this portfolio? (10 marks) (2) What is the expected return of your portfolio if it is fairly priced

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