Question: You are given the following correlation matrix for Securities J, K, and the Market: Market Correlation Security 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: Market Correlation Security Security K Market Security 1.00 0.84 0.42 Security 0.84 1. 000 0.30 .30 1.00 You know that the variance for J, K, and the Market are, respectively: 0.0144004.0.0225000, and 0.0005760. Also, rRF - 0.02 and RPM = 0.05. Determine the required rate of return for Security, based on the Capital Market Line. 24.33% 27.00% 33.25% 30.50% 22.00%

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