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An asset has an annual return of 19.9%, standard deviation of returns of 18.5%, and correlation with the market of 0.9. If the standard deviation

An asset has an annual return of 19.9%, standard deviation of returns of 18.5%, and correlation with the market of 0.9. If the standard deviation of returns on the market is 15.9% and the risk- free rate is 1%, the beta of this asset is closest to:

A 1.02

B 1.05

C 1.16

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