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Suppose the CAPM holds and you have the following information on different assets: Assets Expected Return STD A 10% 16% B 12% 20% C 8%
Suppose the CAPM holds and you have the following information on different assets:
Assets Expected Return STD
A 10% 16%
B 12% 20%
C 8% 22%
Which asset has the highest level of systematic risk?
a. A
b. B
c. C
d. They all have the same systematic risk.
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