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Assume the CAPM is the correct asset pricing model. An asset has a standard deviation of 30% and the market has a standard deviation of

Assume the CAPM is the correct asset pricing model. An asset has a standard deviation of 30% and the market has a standard deviation of 20%. What would the correlation of the asset with the market need to be if the asset were to have the same expected return as the market?

0.150

0.250

0.600

0.667

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