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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 risk-free asset?
- -0.200
- 0.000
- 0.200
- 0.300
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Exchange Rates and International Finance
Authors: Laurence Copeland
6th edition
273786040, 978-0273786047
