Question: a. True or false: If two securities have the same standard deviation of returns, the security with higher correlation to the market portfolio will have

a. True or false:

If two securities have the same standard deviation of returns, the security with higher correlation to the market portfolio will have a higher beta coefficient.

b. What is the expected return for an asset with a beta of 1.2 if the risk free rate is 3% and the market risk premium (Rm - Rrf) is 5% (so Rm is 8%)?

c. Given the security market line's intercept and slope, where a particular security's expected return lies along the line depends on its:

beta coefficient

risk-free interest rate

alpha

market risk premium

standard deviation

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