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The expected return on the market portfolio is 15%, its standard deviation is 20%, and the risk free interest rate is 5%. Assume that asset
The expected return on the market portfolio is 15%, its standard deviation is 20%, and the risk free interest rate is 5%. Assume that asset J efficient with an expected return of 20%.
a. Compute the standard deviation of asset J.
b. Compute the correlation between the return on asset J and the market portfolio.
c. compute the systematic risk of asset J.
d. determine the unsystematic risk of asset J.
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