Question: Consider two securities A and B, both of which are exposed to a common risk factor (thus the market price of risk should be the

Consider two securities A and B, both of which are exposed to a common risk factor (thus the market price of risk should be the same for them). The expected returns are 9% and 12%, respectively. The volatility of A is 10%. The risk free rate is 3%. What is the volatility of B?

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