Question: You are given the following correlation matrix for Securities J, K, and the Market: Correlation Security J Security K Market Security 1.00 0.84 0.42 Security

You are given the following correlation matrix for Securities J, K, and the Market: Correlation Security J Security K Market Security 1.00 0.84 0.42 Security K 0.84 1.00 0.30 Market 0.42 0.30 1.00 You know that the variance for J, K, and the Market are, respectively: 0.0144004, 0.0225000, and 0.0005760. Also, Pre = 0.02 and RPM = 0.05. Determine the required rate of return for Security J, based on the Capital Market Line. 27.00% 30.50% 33.25% 22.00% 24.33%

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