1. Suppose that you have the return to a securities \A" and \B" and the

market portfolio \m." You have the following information about these

three securities:

(See picture attached)

Security Expected Return Standard Deviation A 10.50% 30.62% B 6.70% 34.52% m 8% 20.00% The correlation matrix between the securities is given by: A B m A - 0.4306 0.6533 B 0.4306 0.6953 m 0.6533 0.6953 1