) The expected return to stock A is 15%. (c) The variance of stock B is 0.53%. (d) Stock B does not mean-variance dominate stock A. (e) Stock A mean-variance dominates the market portfolio. • Expected return to market portfolio: 100 ˚ r0.20 ˚ p´0.05q ` 0.80 ˚ 0.20s “ 15% ‰ 7.5%. • Expected return to stock A: 100 ˚ r0.20 ˚ p
