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The standard deviation of the market portfolio is 10%. Which of the following stock has the lowest idiosyncratic risk? (A) Stock A with standard deviation

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The standard deviation of the market portfolio is 10%. Which of the following stock has the lowest idiosyncratic risk? (A) Stock A with standard deviation =15% and market beta =1.2 (B) Stock B with standard deviation =12% and market beta =0.9 (C) Stock C with standard deviation =10% and market beta =0.8 (D) Stock D with standard deviation =20% and market beta =1.5

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