= 2 = = Suppose that the risk-free interest rate is 0.023, that the expected return on the market portfolio is um = 0.10, and that the volatility of the market portfolio is om = 0.12. (a) What is the expected return on an efficient portfolio with or= 0.05? (b) Stock A returns have a covariance of 0.004 with market returns. What is the beta of Stock A? (c) Stock B has beta equal to 1.5 and ge = 0.08. Stock C has beta equal 0 to 1.8 and 0 = 0.10. of . i. What is the expected return of a portfolio that is one-half Stock B and one-half Stock C? ii. What is the volatility of a portfolio that is one-half Stock B and one-half Stock C? Assume that the es of Stocks B and C are in- dependent. = =