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An investor uses the CAPM to estimate required returns. In today's environment, the risk-free rate...

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An investor uses the CAPM to estimate required returns. In today's environment, the risk-free rate is 2% and the market risk premium (M-TRF) is 6%. Stock Beta Standard Deviation A 1.20 30% B 1.05 25% C 1.00 15% D 0.80 15% E 0.45 25% Assume that the five stocks are all positively, but not perfectly, correlated with the market portfolio. If an invetor constructs a portfolio that invests equal amounts in each of the five stocks, which of the following statements is most correct? The portfolio's standard deviation is 22%. The portfolio's beta is greater than 1.0. The portfolio's required return is 7.49

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