Stock A's Beta Is 1

Multiple Choice

Stock A's beta is 1.7 and Stock B's beta is 0.7. Which of the following statements must be true about these securitiesσ (Assume market equilibrium.)

A) stock b must be a more desirable addition to a portfolio than a.
B) stock a must be a more desirable addition to a portfolio than b.
C) the expected return on stock a should be greater than that on b.
D) the expected return on stock b should be greater than that on a.
E) when held in isolation, stock a has more risk than stock b.