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= = 3.3 Suppose that CAPM assumptions hold. Investment funds A, B and C have the following portfolio betas: BA = 0.1, BB = 0.4
= = 3.3 Suppose that CAPM assumptions hold. Investment funds A, B and C have the following portfolio betas: BA = 0.1, BB = 0.4 and Bc = 1. From the historical data we know that the expected returns on their portfolios are ra = 3.3%, rg = 4.2% and rc = 6%. Use this information to find the risk-free rate of return and the market risk premium. (5 marks) = =
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