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Suppose the risk-free rate is 3.4 percent and the market portfolio has an expected return of 8.1%. The market portfolio has a variance of 0.0433.

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Suppose the risk-free rate is 3.4 percent and the market portfolio has an expected return of 8.1%. The market portfolio has a variance of 0.0433. Portfolio ZZZ has a correlation coefficient with the market of 0.57 and a variance of 0.3107. According to the capital asset pricing model, what is the expected return on Portfolio ZZZ? a. 10.576% b. 9.853% c. 11.322% d. 8.100% e. None of the above A

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