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please help me solve this show work Suppose the standard deviation of the market return is 10%. What is the standard deviation of returns on

please help me solve this show work

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Suppose the standard deviation of the market return is 10%. What is the standard deviation of returns on a well-diversified portfolio with a beta of 1.1? O 12.10% 9.90% O 11.00% 9.09%

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