(242) Security A has an expected rate of return of 6%, a standard deviation of returns of...

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(24–2) Security A has an expected rate of return of 6%, a standard deviation of returns of 30%, a correlation coefficient with the market of −0.25, and a beta coefficient of

−0.5. Security B has an expected return of 11%, a standard deviation of returns of 10%, a correlation with the market of 0.75, and a beta coefficient of 0.5. Which security is more risky? Why?

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Financial Management Theory And Practice

ISBN: 9781439078105

13th Edition

Authors: Eugene F. Brigham, Michael C. Ehrhardt

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