What proportion of the risk for security i is systematic


Assume CAPM holds. Let the expected return and standard deviation of a risky security i be µi = 0.12 and σi = 0.25 respectively. The market portfolio M has the expected return µM = 0.1 and standard deviation σM = 0.15. The risk-free rate is r = 0.06. What proportion of the risk for security i is systematic risk?

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Financial Management: What proportion of the risk for security i is systematic
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