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Suppose that borrowing is restricted so that the zero-beta version of the CAPM holds. The expected return on the market portfolio is 12%, and on

Suppose that borrowing is restricted so that the zero-beta version of the CAPM holds. The expected return on the market portfolio is 12%, and on the zero-beta portfolio it is 4%. What is the expected return on a portfolio with a beta of 0.6?

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