Portfolio M is the market portfolio, and Rf is the risk-free rate. According to CAPM, would anyone hold security B by itself?

a, No, it would be inefficient to hold B by itself, since you can hold the market and earn the same expected return while incurring smaller volatility.

b. Yes, somone who prefers high-volatility stocks would hold B by itself.

c. Insufficient information

Exp. Ret. M B A C Rf Standard Deviation