It is assumed that the CAPM assumptions are met in the given market. Security A and B are two risky assets trading in a given market. A and B are both on the security market line. The beta of security A is 1.81, and the covariance of the annual return of security A with the annual return of the market portfolio is 0.26. The correlation of the annual return of security B with the annual return of the market portfolio is 0.89, and the volatility (standard deviation) of the annual return on security B is 14%. The annual market risk premium is 7% and the annual risk free rate is 1.5%. In which interval is given the expected annual return of security B according to CAPM? (Hint: Start by calculating the variance of the return on the market portfolio and then calculate the beta of security B)

Unknown problem no. 11 It is assumed that the CAPM assumptions are met in the given market. Security A and B are two risky assets trading in a given market. A and B are both on the security market line. The beta of security A is 1.81, and the covariance of the annual return of security A with the annual return of the market portfolio is 0.26. The correlation of the annual return of security B with the annual return of the market portfolio is 0.89, and the volatility (standard deviation) of the annual return on security B is 14%. The annual market risk premium is 7% and the annual risk free rate is 1.5%. In which interval is given the expected annual return of security B according to CAPM? (Hint: Start by calculating the variance of the return on the market portfolio and then calculate the beta of security B) A. ]15.3%; 16.8%) *B. [3.2%; 3.9%] C. 17.8%;9.3%[ D. [4.4%; 4.7%] E. 19.6%; 10.5%) F. 15.7%; 6.1%