Assume that the assumptions of the CAPM hold. The expected return and the standard deviation of the market portfolio are 7% and 14%, respectively. There are two individual stocks A and B:

	Mean	Standard deviation
A	4%	18%
B	12%	36%

Stock A has a correlation of 0.2 with the market portfolio

Question:

Stock C has a standard deviation of 40%. Determine True or False: according to the CAPM, the expected return of stock C is greater than that of stock B. Explain your answer.

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