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I 21) Consider the following set of stocks Stock Expected Return Beta 12% 1 B 14% 1.5 20% 2 D 22% 2.5 E 28% 3

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I 21) Consider the following set of stocks Stock Expected Return Beta 12% 1 B 14% 1.5 20% 2 D 22% 2.5 E 28% 3 Standard Deviation 10% 15% 10% 25% 30% If the market risk premium is 8%, which of the following bundles of assets can coexist in a CAPM world? A) A, B, C, and E B) B, and C C) A, B, and E D) B, and D E) A, B, C, D, and E

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