Question: The risk-free rate is 6.0% and the expected return on the market portfolio is 12.0%. Asset A has a beta of 0.75 and an expected

The risk-free rate is 6.0% and the expected return on the market portfolio is 12.0%. Asset A has a beta of 0.75 and an expected return of 10.0%. Asset B has a beta of 1.30 and an expected return of 14.0%. Under the CAPM, investors should:

a) Buy Asset A and sell Asset B.

b) Sell Asset A and buy Asset B.

c) Sell both assets.

d) Buy both assets.

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