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Consider an investor who believes in CAPM and is willing to bear the amount of systematic risk given by=1.3. Investor buys the passive portfolio by

Consider an investor who believes in CAPM and is willing to bear the amount of systematic risk given by=1.3. Investor buys the passive portfolio by combining the market portfolio and T-bills. What should be the weight of T-bills in her passive portfolio?

a. 0.7

b. 1

c. -0.3

d. 1.3

e. Cannot be determined

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