Question: Portfolio E(r) Beta Standard Deviation A 11.4% 1.2 0.30 B 13.5% 1.5 0.375 Market 10% 1 0.25 Risk-free 3% 0 0 Given only the information

Portfolio E(r) Beta Standard Deviation
A 11.4% 1.2 0.30
B 13.5% 1.5 0.375
Market 10% 1 0.25
Risk-free 3% 0 0

Given only the information in the table above, which of the following portfolios are inconsistent with the CAPM in its purest form?

a. Portfolio B

b. Both Portfolio A & Portfolio B

c. Portfolio A

d. None. Both portfolios are consistent with CAPM.

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