In the following example, in my opinion, asset A should receive more return since it has higher systematic risk. The answer in CFA curriculum (Reading 53, Example 4, Page 205) is Asset B.
What do you think?
Systematic and Nonsystematic Risk
Question: Consider two assets, A and B. Asset A has twice the amount of total risk
as Asset B. For Asset A, systematic risk comprises two- thirds of total risk.
For Asset B, all of total risk is systematic risk. Which asset should have a
higher expected rate of return?
Solution from CFA :
Based on the facts given, Asset A’s systematic risk is one- third greater than Asset
B’s systematic risk. Because only systematic risk is priced or receives a return,
the expected rate of return must be higher for Asset B.