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C5. Assume that shares are priced according to the Capital Asset Pricing Model. The market risk premium is 8% and the risk-free rate is 3.7%.

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C5. Assume that shares are priced according to the Capital Asset Pricing Model. The market risk premium is 8% and the risk-free rate is 3.7%. The variance of the return on the market portfolio is 0.0625. Aaron wants to construct a portfolio that has a variance of 0.04. Advise Aaron on how he can achieve this outcome. What is the beta of his portfolio? What is his expected return

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