Assume the CAPM Is the Correct Asset Pricing Model $-0.200$

Multiple Choice

Assume the CAPM is the correct asset pricing model.An asset has a standard deviation of 30% and the market has a standard deviation of 20%.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 risk-free asset?

A) $-0.200$
B) $0.000$
C) $0.200$
D) $0.300$