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Consider a portfolio with an expected return of 20%. The return on the riskless asset is 8%, the expected return on the market portfolio is

Consider a portfolio with an expected return of 20%. The return on the riskless asset is 8%, the expected return on the market portfolio is 13%, and the standard deviation of the return on the market portfolio is 0.25. Assuming this portfolio is efficient, determine:

a. Its beta.

b. The standard deviation of its return.

c. Its correlation with the market return.

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