Assume that the CAPM holds, the risk-free rate is 2% per year, the expected return...
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Finance
Assume that the CAPM holds, the risk-free rate is 2% per year, the expected return on the market is 10% per year and that the annualized volatility (standard deviation) of market returns is 20%.
Assume that the beta of IBM is 1.0, the beta of GM is 2.0, and their respective annualized return volatilities are 25% and 80%.
Suppose that you invest 60% in IBM and 40% in GM. Compute the systematic variance of your portfolio.
Group of answer choices
0.0566
0.0160
0.0784
0.0966
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