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The standard deviation of the rate of return on the market portfolio is 18%. Given that a well diversified portfolio has no unsystematic risk (i.e.,

The standard deviation of the rate of return on the market portfolio is 18%. Given that a well diversified portfolio has no unsystematic risk (i.e., 100% of the variation in the portfolio return is explained by the variation in the return of the market portfolio), determine

a. the standard deviation of return on a well diversified portfolio with a beta of .75

b. the standard deviation of return on a well diversified portfolio with a beta of 0

c. the beta of a well diversified portfolio having a standard deviation of 22.5 percent.

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