2. (30 points) A financial market with one risk-free asset and only two risky stocks A and B satisfies the CAPM exactly. Details on stocks A and B are given in the table below. The betas of stocks A and B are such that 11a = 5BB. Price No. of shares traded in the market 500 1000 per share Expected rate of return 0.05 0.10 Standard deviation of return 0.15 0.30 A 30 10 B Calculate the exact values of each of the following: (i) the weight vector of the market portfolio, (ii) the risk-free rate rf, (iii) the betas of A and B, (iv) the correlation between the rates of return of stocks A and B, (v) the variance of the rate of return of the market portfolio, (vi) and the beta of the portfolio that is equally weighted in stocks A, B and the market portfolio. 2. (30 points) A financial market with one risk-free asset and only two risky stocks A and B satisfies the CAPM exactly. Details on stocks A and B are given in the table below. The betas of stocks A and B are such that 11a = 5BB. Price No. of shares traded in the market 500 1000 per share Expected rate of return 0.05 0.10 Standard deviation of return 0.15 0.30 A 30 10 B Calculate the exact values of each of the following: (i) the weight vector of the market portfolio, (ii) the risk-free rate rf, (iii) the betas of A and B, (iv) the correlation between the rates of return of stocks A and B, (v) the variance of the rate of return of the market portfolio, (vi) and the beta of the portfolio that is equally weighted in stocks A, B and the market portfolio