1. Suppose that the risk-free return is R - 5% and consider the portfolios constructed from the two risky securities with expected returns, standard deviations of returns, and correlation between the two returns given in the following table. -0.08 0-0.15 Pia -0.30 2 -0.060 -0.12 (a) [10 pts) Show that indeed a market portfolio Mexists. [You MUST clearly justify your answer. (b) [12 pts) Find the weights of the market portfolio M. (c) (6 pts) Find the expected return of the market portfolio M. (d) [10 pts) Find the risk of the market portfolio M. () (8 pts) Find the equation of the capital market line (CML) in the plane. 1. Suppose that the risk-free return is R - 5% and consider the portfolios constructed from the two risky securities with expected returns, standard deviations of returns, and correlation between the two returns given in the following table. -0.08 0-0.15 Pia -0.30 2 -0.060 -0.12 (a) [10 pts) Show that indeed a market portfolio Mexists. [You MUST clearly justify your answer. (b) [12 pts) Find the weights of the market portfolio M. (c) (6 pts) Find the expected return of the market portfolio M. (d) [10 pts) Find the risk of the market portfolio M. () (8 pts) Find the equation of the capital market line (CML) in the plane