Question: Consider securities in this table: A B Standard deviation (%) 40 10 Correlation with the market portfolio 0.2 0.6 The expected return on the market

Consider securities in this table:

A B

Standard deviation (%) 40 10

Correlation with the market portfolio 0.2 0.6

The expected return on the market portfolio is 9%, and the volatility of the market return is 15%. The risk free rate of return is 2%.

Calculate the beta of each security?

What is the expected return of each security?

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