Security a Has an Expected Return of 12

Essay

Security A has an expected return of 12.4% with a standard deviation of 15%,and a correlation with the market of 0.85.Security B has an expected return of −0.73% with a standard deviation of 20%,and a correlation with the market of −0.67.The standard deviation of r_M is 12%.
a.To someone who acts in accordance with the CAPM, which security is more risky, A or B? Why? (Hint: No calculations are necessary to answer this question; it is easy.)
b.What are the beta coefficients of A and B? Calculations are necessary.
c.If the risk-free rate is 6%, what is the value of r_M?