Given the Beta and Expected Return of ALL of the Following

Multiple Choice

Given the beta and expected return of ALL of the following assets, which of the following asset bundles could NOT be found on the security market line? Assume the risk free asset has an expected return of 4%.

$$\begin{array} { l c c } \text { Asset Bundle } & \text { Beta } & \text { Expected Return } \\\text { Market Portfolio } & 1.00 & 12 \% \\\text { Bundle ABC } & 0.50 & 8 \% \\\text { Bundle AEP } & 1.50 & 14 \% \\\text { Bundle KAM } & 0.75 & 10 \%\end{array}$$

A) The Market Portfolio
B) Bundle ABC
C) Bundle AEP
D) Bundle KAM
E) All of the above would found on the security market line