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Suppose the CAPM is true and you observe the following: Beta(i)=2. In a regression of Er(i) on Er(m), the R squared= 0.8 and the idiosyncratic

Suppose the CAPM is true and you observe the following: Beta(i)=2. In a regression of Er(i) on Er(m), the R squared= 0.8 and the idiosyncratic variance of asset (i) is 25%. What is the standard deviation of the return on the market portfolio.

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