Portfolio Management Q96

0. Three investors, Bill, Jill, and Mill, invest in individual securities. The table below shows the expected annual returns, expected standard deviation, and the correlation between their security and the market.
Investor Expected Annual Return(%) Expected Standard Deviation(%) Correlation between the security and the market
Bill 15 21 0.85
Jill 12 21 0.75
Mill 12 28 0.65

The following information is available for the market:
Expected Annual Return: 11%
Expected Standard Deviation: 16%
Which investor has invested in a security with the highest beta?

Answer
Comment
Array

Option : C
Explanation :

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