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What is the beta of an efficient portfolio with E[r_pf ]=20%, if the return on the risk free asset, r_f=5%, the expected return on the
What is the beta of an efficient portfolio with E[r_pf ]=20%, if the return on the risk free asset, r_f=5%, the expected return on the market portfolio is E[r_m ]=12%, and the standard deviation of returns on the market portfolio, _m=17%? What is the standard deviation of returns on this portfolio? What is its correlation with the market?
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