Suppose that the capm holds the expected return and


Suppose that the CAPM holds. The expected return and standard deviation of a risky security A are 10% and 15%, respectively. The risk-free rate is 6%, and the expected return and standard deviation of the market portfolio are 12% and 15%. What proportion of the risk of A is systematic risk?

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Financial Management: Suppose that the capm holds the expected return and
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