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Consider securities in this table: A B Standard deviation (%) 40 10 Correlation with the market portfolio 0.2 0.6 The expected return on the market
Consider securities in this table:
A B
Standard deviation (%) 40 10
Correlation with the market portfolio 0.2 0.6
The expected return on the market portfolio is 9%, and the volatility of the market return is 15%. The risk free rate of return is 2%.
Calculate the beta of each security?
What is the expected return of each security?
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