2. The following information is provided for a stock market: j PjM Security A 40% 0.8 Security B 60% -0.4 Market Portfolio 20% 1.0 = Notation: j = standard deviation of the rate of return on asset j = A and j = = B; PjM correlation coefficient between the return on asset j and the return on the market portfolio. The mean rate of return on the market portfolio is 6% and the risk-free rate of return is 2%. a) In the Capital Asset Pricing Model, explain what is meant by the Security Market Line, SML. Calculate the SML from the given information. b) In the Capital Asset Pricing Model, explain what is meant by the beta coefficient, Bj for a security. Why is it considered the measure of an asset's non-diversifiable risk? Calculate the beta coefficients for the two securities from the given information. c) You are told that the mean rates of return for securities A and B are 6.4% and 2.2% respectively. What would you infer from this information in the context of the Capital Asset Pricing Model?