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You have been provided with the following market data. Assuming that the CAPM and the SML hold, fill in the missing values (13 values needed)
You have been provided with the following market data. Assuming that the CAPM and the SML hold, fill in the missing values (13 values needed) in the table:What is the beta of a portfolio with $10,000 invested in A, 20,000 invested in B, $10,000 invested in C, and $20,000 invested in the risk-free rate?
Security | Expected Return | Std. Dev. | Correlation | Beta |
A | 20% | 25% |
|
|
B |
| 18% | 0.3 |
|
C | 18% |
| 0.75 |
|
D |
|
| 0.5 | 1 |
Market | 14% | 10% |
|
|
Risk-free Rate | 6% |
|
|
|
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