"You have $$1,000,000$ invested in the market portfolio and you plan to invest another $$1,000$ in the shares of one of the following firms. Which one would you buy?"

E$($R $)$ Sigma beta

GM $10\%20\%0\mathrm{.}8$

IBM $10\%15\%1\mathrm{.}3$

ATT $10\%10\%1\mathrm{.}8$

indifferent

GM

IBM

ATT

none