What proportion of portfoio risk cannot be diversifed away

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Reference no: EM131982758

Assume CAPM holds and use the following information:

The risk free rate is 5.5% What proportion of Portfoio A's risk (variance) cannot be diversifed away.

Portfolio A ER= 16% Beta= 1.8 Std= 30%

Market Portfolio STD=12%

Reference no: EM131982758

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