You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP σP βP X 12.0 % 33 % 1.95 Y 11.0 28 1.25 Z 7.3 18 0.60 Market 11.4 23 1.00 Risk-free 6.8 0 0 Assume that the correlation of returns on Portfolio Y to returns on the market is 0.84. What is the percentage of Portfolio Y's return that is driven by the market?
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