Assume the CAPM Is the Correct Asset Pricing Model $0.150$

Multiple Choice

Assume the CAPM is the correct asset pricing model.An asset has a standard deviation of 40% and the market has a standard deviation of 15%.What would the correlation of the asset with the market need to be if the asset were to have the same expected return as the market?

A) $0.150$
B) $0.375$
C) $0.600$
D) $0.667$