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Assume the CAPM holds. The return on asset ABC is perfectly correlated with the return on the market portfolio. Your friend makes the following claim:

Assume the CAPM holds. The return on asset ABC is perfectly correlated with the return on the market portfolio. Your friend makes the following claim: a portfolio that invests one dollar in ABC and shorts one dollar of the market portfolio will have no systematic risk. Comment on the validity of your friends claim and explain briefly.

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