21 (16 points) Market portfolio has an expected return of 10% and volatility of 16%. Risk-free rate is 4%. Security X and Y have betas of 0.8 and 1.2 respectively. a) (4 points) According to CAPM, what are the expected return of X and Y? b) (4 points) What is the beta of a portfolio with 80% in Market portfolio and 20% in risk-free asset? c) (4 points) You are investing in a complete portfolio. The complete portfolio is composed of risk-free asset and a risky portfolio, P, constructed with 40% in X and 60% in Y. It turns out that your complete portfolio has an expected rate of return of 10%. What is the beta of your complete portfolio? d) (4 points) What is the correlation of stock X with the market portfolio, assuming X has a standard deviation of 20%