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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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