Stocks A, B, and C have betas of 0.7, 1.0, and 1.3, respectively. Portfolio P has one-third of its value invested in each stock. Each stock has a standard deviation of 31%, and their returns are independent of one another; that is, the correlation coefficient between each pair of stock is zero. If the market is in equilibrium, which of the following is correct regarding Portfolio P’s expected return?
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it is greater than the expected return on Stock B
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it is equal to the expected return on Stock B
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it is less than the expected return on Stock B
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it is greater than the expected return on Stock C
