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Question 11 (7 points) Suppose the risk free rate is 5% and the market portfolio has an expected return of 10%. The market portfolio has

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Question 11 (7 points) Suppose the risk free rate is 5% and the market portfolio has an expected return of 10%. The market portfolio has a variance of 0.5. Portfolio Z has a correlation coefficient with the market of 0.5 and a variance of 0.28 According to the CAPM, what is the beta of portfolio Z 1 0.374 O 0.14 0.5292

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