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Suppose the return on the market portfolio is 12.80% and the risk-free rate is 6.50%. If the standard deviation of the market portfolio is 12.00%,

Suppose the return on the market portfolio is 12.80% and the risk-free rate is 6.50%. If the standard deviation of the market portfolio is 12.00%, what is the standard deviation of a stock with an expected return of 9.60%? Assume the stock and the market portfolio are perfectly positively correlated.

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