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Asset A B ? D Expected Return 10% 9% 14% 8

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Asset A B ? D Expected Return 10% 9% 14% 8.50% Total Return Variance 0.3844 0.5476 0.3600 1.4225 Firm Specific Variance 0.2548 0.4576 0.0000 0.8600 1. A risk-averse investor with a well-diversified portfolio is considering adding asset A or asset B to his/her portfolio. S/he would like to choose the one with lower systematic risk. Which asset would you recommend? Show your calculations.