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Security A has a required return of 12.4 percent with a standard deviation of 15 percent, and a correlation with the market of 0.85. Security
Security A has a required return of 12.4 percent with a standard deviation of 15 percent, and a correlation with the market of 0.85. Security B has a required return of -0.73 percent with a standard deviation of 20 percent, and a correlation with the market of -0.67. The standard deviation of rM is 12 percent. To someone who acts in accordance with the CAPM, which security is more risky, A or B?
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