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An investor holds two well-diversified portfolios on US securities. The expected return on portfolio A is 11% and the expected return on portfolio B is

An investor holds two well-diversified portfolios on US securities. The expected return on portfolio A is 11% and the expected return on portfolio B is 8%, and _A = 1 and _B = 0.7.

What should be the risk-free rate according to the CAPM?

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