The market portfolio has expected return

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Suppose that the risk-free rate is 5% and the market portfolio has an expected return of 13% with a volatility of 18%. Monsters Inc. has a 24% volatility and a correlation with the market of .60, while California Gold Mining has a 32% volatility and a correlation with the market of -.7.

Assume the CAPM assumptions hold. California Gold Mining's required return is closest to:

Reference no: EM132065206

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