Sock Figaro has a standard deviation of 35% and a beta of 0.9. Sock Almaviva has a standard deviation of 30% and a beta of 1.1. This means that:
a. We need to know the risk-free rate to know which will have the highest expected return.
b. Almaviva has the most risk, and Figaro will have the highest expected return.
c. Figaro has the most risk, and both will have the same expected return.
d. Almaviva will always have the highest actual return.
e. Figaro has the most risk, and Almaviva will have the highest expected return.