10 1. Asset A has an expected return of 15% and a beta of 0.9. Asset B has an expected return of 20% and a beta of 1.5. Suppose the risk-free rate of return is 6%. Which of the following statements must be true? 5 15-06 A) A risk-averse investor will prefer Asset A. B) The SML for Asset A is steeper than the SML for Asset B C) The CAPM does not hold. D) None of the above