Portfolio Management Q113
113The following table shows data for the stock of ABC and a marketindex.
| Expected return of ABC | 10% |
| Expected return of the market-index | 9% |
| Risk free rate | 4% |
| Standard deviation of ABC returns | 15% |
| Standard deviation of market-index returns | 12% |
| Correlation of ABC and market-index returns | 0.5% |
Based on the capital asset pricing model (CAPM), ABC is most likely:
