Suppose that the risk-free interest rate is 0.023, that the expected return on the market portfolio is μM = 0.10, and that the volatility of the market portfolio is σM = 0.12. (a) What is the expected...

Suppose that the risk-free interest rate is 0.023, that the expected return on the market portfolio is μM = 0.10, and that the volatility of the market portfolio is σM = 0.12.

(a) What is the expected return on an efficient portfolio with σR = 0.05?

 (b) Stock A returns have a covariance of 0.004 with market returns. What is the beta of Stock A?

 (c) Stock B has beta equal to 1.5 and σ = 0.08. Stock C has beta equal to 1.8 and σ = 0.10.

i. What is the expected return of a portfolio that is one-half Stock B and one-half Stock C?

 ii. What is the volatility of a portfolio that is one-half Stock B and one-half Stock C? Assume that the
s of Stocks B and C are independent.