10. The expected return on the market portfolio is E(R)=20% and its standard deviation is on = 5%. The return on the risk-free asset is R:=2%. a. Based on the CAPM, calculate the required expected return on assets A and B, with corresponding betas: Ba= -0.06 and Bo= 1.2. [5 marks) b. Suppose that asset C has a required rate of return of Rc=17%. What must be the beta of this asset (Bc) so that its required rate of return is consistent with the CAPM theory? (5 marks) c. Suppose that there is no risk-free asset, but you have found a portfolio P, with weights on the assets of the whole market X such that: (i) E(R)-4% and, () X' EX=0. Find the required rate of return for assets A, B and C, assuming that their betas are the same as the ones you computed above. (10 marks MacBook Air 90 # 4 % 5 & 7 6 9