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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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