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Suppose that the universe of available risky securities consists of a large number of stocks, identically distributed with E(r) = 15%, = 60%, and a

Suppose that the universe of available risky securities consists of a large number of stocks, identically distributed with E(r) = 15%, = 60%, and a common correlation coecient of = 0.5.

What is the systematic risk in this security universe?

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