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What is the portfolio beta? (The following given information is the same as in the previous question.) A portfolio consists of a risk-free asset and
What is the portfolio beta?
(The following given information is the same as in the previous question.) A portfolio consists of a risk-free asset and a risky asset. The risk-free asset has a return of 2% and a portfolio weight of 20%. The risky asset has a return standard deviation of 8%, a beta of 1.2, and a portfolio weight of 80%. The expected market return is 6%. What is the return standard deviation of the portfolio? A) 3.2% B) 8.0% C) 4.8% OD) 6.4% Step by Step Solution
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