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Assume that both portfolios A and B are well diversified, that E ( rA )= 12%, and E ( rB )= 9%. If the economy
Assume that both portfolios A and B are well diversified, that E ( rA )= 12%, and E ( rB )= 9%. If the economy has only one factor, and ?A = 1.2, whereas ?B = .8, what must be the risk-free rate? How do you get from E(ri)=rf+?iF .12=rf+1.2F 0.09=rf+.8F to F=0.075 Rf=0.03
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