Suppose that the CAPM holds and the expected return on the market portfolio is 10%, the risk-free rate is 4%, the standard deviation of the market portfolio is 16%. What is the expected return on the efficient portfolio with 20% standard deviation? \begin{tabular}{|l|} \hline 10% \\ \hline 20% \\ 12.5% \\ \hline 11.5% \\ \hline 15.5% \\ \hline \end{tabular} Stock ABC has a correlation with the market of 0.5. The standard deviation of the market is 16%, and the standard deviation of the stock is 30%. What is the stock's beta? 0.51241.551.152.060.9375