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In a single-index model, the following table gives the expected returns, alphas (), standard deviation (), beta () and firm-specific standard deviation () for the

In a single-index model, the following table gives the expected returns, alphas (), standard deviation (), beta () and firm-specific standard deviation () for the market, the risk-free asset, the three stocks A, B and C, all in annualized terms.

Find the beta of Asset B.

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3

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