Question: QUESTION 13 In the CAPM world, two securities, A and B, are priced efficiently, i.e., they fall on the SML. The expected return of A

QUESTION 13 In the CAPM world, two securities, A and B,

QUESTION 13 In the CAPM world, two securities, A and B, are priced efficiently, i.e., they fall on the SML. The expected return of A is 20%, and its beta is 1.6. The expected return of B is 11%, and its beta is 0.7. What is the slope of the SML? A. 0.15 B. 0.08 C.0.1 D.0.2 E. 0.12 QUESTION 14 Consider two risky securities A and B. A has an expected rate of return of 15% and a standard deviation of 20%. B has an expected rate of return of 10% and a standard deviation of 16%. The correlation coefficient of A and B is 0.2. Risk-free rate is 6%. The weights of A and B in the optimal risky portfolio are and respectively. A. 0.67; 0.33 B. 0.64; 0.36 C. 0.54; 0.46 OD. 0.52; 0.48 E. 0.43; 0.57

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