In the CML graph below, MVE refers to the market portfolio, and A, B, C are three stocks. Assume that all assets are priced correctly under the CAPM. What is the beta and systematic variance of stock B?
35%
Expected Return [E(r)]
30%
25%
CML (Capital
Market Line)
20%
C
MVE
15%
B
10%
5%
A
0%
0%
10%
20%
30%
40%
50%
60%
Standard Deviation [SD(r)]
Select one:
? A. 1, 0.04
? B. 1, 0.16
? C. 1.5, 0.09
? D. 1, 0.4
? E. Cannot be determined from the information given