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: Security Expected Return Standard Deviation A 10.50% 30.62% B 6.70% 34.52% In 8% 20.00% The correlation matrix between the securities is given by: 1\". -|--- 0.4306 1 0.6533 0.6953 In addition the riskfree rate is 2%. (a) According to the assumptions above, what are the CAPM alphas and betas of securities A and B? What would be the R2's of re gressions of A and B on the market return