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4. An investor currently has all of his wealth in Treasury bills. He is considering investing one-third of his funds in General Electric, whose beta
4. An investor currently has all of his wealth in Treasury bills. He is considering investing
one-third of his funds in General Electric, whose beta is 1.30, with the remainder
left in Treasury bills. The expected risk-free rate (Treasury bills) is 6 percent and the
market risk premium is 8.8 percent. Determine the beta and the expected return on
the proposed portfolio.
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