Question: Consider the following variance-covariance matrix for Security A, Security B, and the Market: Variance Covariance Matrix A B Market A 0.562500 0.091875 0.028125 B 0.091875

Consider the following variance-covariance matrix for Security A, Security B, and the Market: Variance Covariance Matrix A B Market A 0.562500 0.091875 0.028125 B 0.091875 0.1225000.021000 Market 0.028125 0.0210000.022500 For the coming year, the Market Risk Premium is 4.5 percent and the risk-free rate is 2.0 percent. Determine the required return for Security B using both the Capital Market Line and the Security Market Line (CAPM). What is the absolute) difference between these two required returns? O 6.300% O 16.875% 7.700% O 12.375% 20.6259

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