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Example: Systematic and Idiosyncratic Risk - ABC stock has a volatility of 90% and a beta of 3 . The market portfolio has an expected
Example: Systematic and Idiosyncratic Risk - ABC stock has a volatility of 90% and a beta of 3 . The market portfolio has an expected return of 7% and a volatility of 15%. The risk-free rate is 1%. - What is the equilibrium expected return on ABC stock? What is the proportion of ABC Internet's variance which is diversified away in the market portfolio
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