2. Refer to the following data for answering the following sections: Stock I Correlation Coefficient I with M Standard Deviation of I A 0.5 0.25 B 0.3 0.30 E(rM) = 0.12 rf = 0.05 2 (rM) = 0.01 (a) Compute the equilibrium expected return according to the CAPM for Sock A and Stock B. (10 points) (b) Compute the equilibrium expected return according to the CAPM for an equally weighted portfolio of stocks A and B. (5 points) (c) Calculate the level of systematic risk for the portfolio in section (b). (10 points)