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Glimmer Glass has a correlation of 0.67 with the market portfolio, a variance of 23%, and an expected return of 14%. The market portfolio has an expected return of 11% and a variance of 13%. Glimmer stock has approximately: A. 11% less systematic risk than the average stock. B. 4% more systematic risk than the average stock. C. 19% more systematic risk than the average stock. |