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Chartered Financial Analyst Level 1

Chartered Financial Analyst Level 1

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An analyst gathers the following information:

  • Risk-free rate: 2%
  • Expected return of the market portfolio: 10%
  • Standard deviation of the market portfolio: 20%
  • Standard deviation of the security: 35%
  • Correlation between the security and the market: 0.8

According to the Capital Asset Pricing Model (CAPM), the expected return of the security is closest to:

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