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You are given the following information about the following assets: If the market standard deviation is 20%, what are the standard deviation of the assets

You are given the following information about the following assets:

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If the market standard deviation is 20%, what are the standard deviation of the assets returns?

Beta 1.0 Asset Stock A Portfolio B Gold T-bill Idiosyncratic Std. Dev. 30% 0% 20% 0% 1.2 0.0 0.0

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