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Assume that the risk-free rate is 1%. Consider the following CAPM parameter values: Portfolio Expected return Beta A 15% 1.5 B 6% 0.4 Market 13.5%

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Assume that the risk-free rate is 1%. Consider the following CAPM parameter values: Portfolio Expected return Beta A 15% 1.5 B 6% 0.4 Market 13.5% 1 Assume in addition, that the market portfolio has a volatility of 20%. Each of portfolio A and B have an unsystematic variance of 0.0036. What are the alphas of portfolio A and B

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