3. A is correct. Portfolio A's return equation is: 15% = RF + 0.8λ
1 and portfolio B's return
equation is: 16% = RF + 1.0λ
1. Using portfolio A's equation, RF = 15% - 0.8λ
1. Substituting
this in portfolio B's equation gives:
16% = 15% - 0.8λ1 + 1.0λ1
0.2 λ
1 = 0.01
λ
1 = 0.05. Section 3. LO.c.
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