QuestionAsset A , which has an expected return of $12 \%$ and a beta of 0.8 , plots on the security market line. Which of the following is false about Asset B , another risky asset with a beta of 1.4 ?
Multiple Choice If Asset B plots on the SML with an expected return $=18 \%$, the expected return on the market must be $15 \%$. Asset B has more systematic risk than both Asset A and the market porffolio. If the market is in equilibrium, Asset $B$ also plots on the SML. If Asset B plots on the SML with an expected return $=18 \%$, then the risk-free rate must be $4 \%$. If Asset B plots on the SML, then Asset B and Asset $A$ have the same reward to risk ratio.