1. Consider the following correlation and covariance matrices for Securities J, K, and the Market:

Correlation	Security J	Security K	Market
Security J	1.00	0.84	0.42
Security K	0.84	1.00	0.30
Market	0.42	0.30	1.00

Covariance	Security J	Security K	Market
Security J	0.016384000	0.017633280	0.001290240
Security K	0.017633280	0.026896000	0.001180800
Market	0.001290240	0.001180800	0.000576000

a. Determine the beta of a portfolio consisting of 60% in Security J and 40% in Security K..

b. You have also estimated that the risk-free rate is 4% and the MRP is 12%. Determine the required rate of return for Security J, using the CAPM.