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b. Suppose the assumptions of the CAPM are satisfied. You have discovered four well- diversified portfolios with no unique risk. They have the following characteristics.

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b. Suppose the assumptions of the CAPM are satisfied. You have discovered four well- diversified portfolios with no unique risk. They have the following characteristics. Three of them are correctly priced while one is mispriced. Which portfolio is mispriced? (10 marks) 2 Portfolio Expected Return Beta A 17% 1.2 B 20% 1.5 24% 1.7 D 29% 2.4

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