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Fran and Jimmy each have a stock portfolio. Jimmy's portfolio consists of four automakers, including Ford and GM. His portfolio beta is 0.8. Fran holds

Fran and Jimmy each have a stock portfolio. Jimmy's portfolio consists of four automakers, including Ford and GM. His portfolio beta is 0.8. Fran holds 50 stocks from a wide variety of industries. Her portfolio beta is 1.2. Which of the following is true about market risk under standard capital market theory?

Fran's portfolio has greater market risk than Jimmy's.

Jimmy's portfolio has greater market risk than Fran's.

Their market risk is equal.

It's impossible to determine market risk from the information given.

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