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suppose the expected return and standard deviation of the market portfolio are 11% and 20%...

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Finance

suppose the expected return and standard deviation of the market portfolio are 11% and 20% respectively. The expected return of security A is 6%. The expected return of security B is 10% and its standard deviation is 18%. A portfolio that invests half of its value in security and half in security B has a beta of 0.5. Use the CAPM to calculate the specific risk of security B.

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