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Old Today, 11:41 AM
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Originally Posted by Polak View Post
TIA's solution is reasonable and I don't know why I didn't think of it. He just assumes CAPM and says ra = rf + Beta(rm-rf) and solves for beta. which gives him the same answer as the CAS interestingly enough. I guess that's the same as assuming there is no non-market risk as you suggested.
I guess you could also use BKM 8: E(R) = a + βE(Rm). a=-.06,E[Rm]=.06,E[R]=.06 so B=2
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