Assume the CAPM Is the Correct Asset Pricing Model,and the Risk-Free

Assume the CAPM is the correct asset pricing model,and the risk-free rate of return is 6% and the market has an expected return and a standard deviation of 16% and 0.10%,respectively.An investor has a portfolio consisting of equal amounts in assets A and B.Asset A has an expected return of 8%.If the portfolio has an expected return of 10%,what is the covariance between asset B and the market portfolio?

A) $2.000$
B) $3.000$
C) $6.000$
D) $7.000$

Correct Answer:

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