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Suppose you would like to invest in stocks A and B and borrow at the risk-free rate of 5 %. The market shows volatility at

Suppose you would like to invest in stocks A and B and borrow at the risk-free rate of 5 %. The market shows volatility at 12 %.

Correlation with Market Volatility Weights
Stock A 0.8 16% 0.44
Stock B 0.5 20% 0.78
Risk-free asset 12% -0.22

What is the beta of your portfolio?

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