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Jenny has no assets, but she has $1,000 to invest in one of two stocks. Stock A has a beta of 1.2 and a sigma

Jenny has no assets, but she has $1,000 to invest in one of two stocks. Stock A has a beta of 1.2 and a sigma of 0.2. Stock B has a beta of 1.0 and a sigma of 0.3. If the market prices the stocks according to CAPM. which stock should you recommend?"

a. A

b. Indifferent between these stocks

c. Neither one

d. Depends on the correlation between each of these stocks and the market portfolio

e. B

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