2. Assume that the mean-variance opportunity set is constructed from only two risky assets, A and B. Their variance-covariance matrix is 0.0081 0 = 0 0.0025 = (0.008 Asset A has an expected return of 30%, and asset B has an expected return of 20%. Answer the following questions: a. Suppose investor I chooses his market portfolio to consist of 75% in asset A and 25% in asset B, whereas investor J chooses a different market portfolio with 50% in asset A and 50% in asset B. Given these facts, what beta will each investor calculate for asset A? b. Given your answer to part (a), which of the following is true and why? i. Investor I will require a higher rate of return on asset A than will investor J. ii. They will both require the same return on asset A. iii. Investor J will require a higher rate of return on asset A than will investor I. c. Compute the zero-beta portfolios and the equations for the security market line for each investor. 2. Assume that the mean-variance opportunity set is constructed from only two risky assets, A and B. Their variance-covariance matrix is 0.0081 0 = 0 0.0025 = (0.008 Asset A has an expected return of 30%, and asset B has an expected return of 20%. Answer the following questions: a. Suppose investor I chooses his market portfolio to consist of 75% in asset A and 25% in asset B, whereas investor J chooses a different market portfolio with 50% in asset A and 50% in asset B. Given these facts, what beta will each investor calculate for asset A? b. Given your answer to part (a), which of the following is true and why? i. Investor I will require a higher rate of return on asset A than will investor J. ii. They will both require the same return on asset A. iii. Investor J will require a higher rate of return on asset A than will investor I. c. Compute the zero-beta portfolios and the equations for the security market line for each investor