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Suppose that the risk - free rate is 5 % , while the market portfolio offers an expected return of 1 5 % with return

Suppose that the risk-free rate is 5%, while the market portfolio offers an expected return
of 15% with return volatility equal to 20%. If the assumptions of the CAPM hold,
compute for the non-diversifiable risk of a portfolio that has expected return equal to
11%

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