93) An analyst has estimated that the returns for an asset, conditional on the performance of the overall economy, are: Return Probabilit Economic y Growth 5% 20% Poor 1 0% 40% Average 14% 40% Good The conditional expected returns on the market portfolio are: Return Probabilit Economic y Growth 2% 20% Poor 1 0% 40% Average 1 5% 40% Good According to the CAPM, if the risk-free rate is 5% and the risky asset has a 1.1, with respect t the market portfolio, the analyst should: A) sell (or sell short) the risky asset because its expected return is not sufficient to compensate for its systematic risk. B) buy the risky asset because the analyst expects the return on it to be higher than its required return in equilibrium. C) sell (or sell short) the risky asset because its expected return is less than equilibrium expected return on the market portfolio. D) none of the above R(p)= SUM(p*R)=0.2*5%+0.4*10%+0.4*14%=10.6% R(m)=0.2*2%+0.4*10%+0.4*15%=10.4% E(r)=5%+(10.4%-5%)*