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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 expected return on a portfolio with a beta of 0.8 and a standard deviation of 22%? a. 4.8% b. 11.0% c. 8.8% d. 12.0%

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