Correlation between a and the market portfolio

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You have the opportunity to invest in either stock A or stock B, and we know the following:

Stock A has a standard deviation of 0.40, and the correlation between A and the market portfolio is 0.4

Stock B has a standard deviation of 0.3, and the correlation between B and the market portfolio is 0.8

The market portfolio has a variance of 0.04.

a) Which stock has the highest beta?

b) Which stock has the highest expected return?

Reference no: EM132758988

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