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Consider the CAPM model. Stock A has a risk premium of 13%, and its standard...

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Finance

Consider the CAPM model. Stock A has a risk premium of 13%, and its standard deviation is 18%. The market index has a risk premium of 12%. The T-bill rate is 2%. The correlation between A and the market index is 0.1735. What is the standard deviation of the market index?

A. 0.0255

B. 0.0212

C. 0.0288

D. 0.0831

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