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Assume the global investment market has a risk premium of 5% and standard deviation of 20%. Also, assume there is an asset A that is

Assume the global investment market has a risk premium of 5% and standard deviation of 20%. Also, assume there is an asset A that is 0.5 correlated with the global investment market and has a standard deviation of 40%. You can only invest in 60% of the market (it is 60% integrated or 40% segmented). Also, assume the illiquidity premium is 1% and the risk-free rate is 2%. What is the required return of asset A based on ICAPM and the illiquidity premium?

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