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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 in the table:

You have been provided with the following market data. Assuming that the CAPM and the SML hold, fill in the missing values in the table:

Security

Expected Return

Std. Dev.

Correlation

Beta

A

20%

25%

B

18%

.3

C

18%

.75

D

.5

1

Market

14%

10%

Risk-free Rate

6%

*Std. Dev.: Standard deviation of the security returns

*Correlation: Correlation of return between the security and the market portfolio

Question: 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?

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