20. In a market where the CAPM holds there are five risky assets with the following attributes per year. UCT-2022 Asset number Expected return 1 2 3 4 5 11% 10% 13% 18% 16% Market capitalisation (in ZAR) 2.6bn 3.9bn 5.2bn 1.3bn Beta 1.5 ECO 4102Z/ECO 41222 The risk-free rate is ry=6% p.a. Page 7 of 7 Question 20 continues on the next page.... (a) Calculate the expected return on the market portfolio. [2 marks] (b) Deduce the market capitalisation of asset 4 and the betas of all the other assets. (6 marks] (e) Calculate the beta of a portfolio P which is equally weighted in the five assets and the risk-free asset. (d) State the limitations of the CAPM. [2 marks] [4 marks [Total: 14 marks]