Question: 33) Security A has an expected return of 12.4% with a standard deviation of 15%, and a correlation with the market of 0.85. Security B

33) Security A has an expected return of 12.4% with a

33) Security A has an expected return of 12.4% with a standard deviation of 15%, and a correlation with the market of 0.85. Security B has an expected return of -0.73% with a standard deviation of 20%, and a correlation with the market of -0.67. The standard deviation of rm is 12%. To someone who acts in accordance with the CAPM, which security is more risky, A or B? Why? (Hint: No calculations are necessary to answer this question; it is easy.) What are the beta coefficients of A and B? Calculations are necessary. c. If the risk-free rate is 6%, what is the value of rm? b

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