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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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