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An investor holds a portfolio of 100 stocks with a volatility of 15% and a beta of 1,0. The volatility of the market portfolio is

An investor holds a portfolio of 100 stocks with a volatility of 15% and a beta of 1,0. The volatility of the market portfolio is 12%. Assume that all the assumptions underlying the CAPM hold, what part of total risk of the investors portfolio is priced in the market?

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