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the expected return on the market portfolio is 10%, the standard deviation of the market return is 20%, and the risk-free rate is 4%. assuming

the expected return on the market portfolio is 10%, the standard deviation of the market return is 20%, and the risk-free rate is 4%. assuming the CAPM holds, what is the standard deviation of an efficient portfolio with a beta of 0.6?

a. 12.0% b. 7.6% c. 6.0% d. 8.6%

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