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The expected return on the market portfolio is 10%, and the standard deviation of the market portfolio return is 20%. Suppose the CAPM holds. Portfolio

The expected return on the market portfolio is 10%, and the standard deviation of the market portfolio return is 20%. Suppose the CAPM holds. Portfolio Q has a standard deviation of 30%.

What is the highest beta for portfolio Q?

A. 1.2

B. 1.5

C. 2.5

D. 3

E. Not enough information to answer

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