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% m 8% 20.00% The correlation matrix between the securities is given by: A B III 0.4306 0.6533 1 0.6953 0.6953 In addition the risk-free 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