3. Recall the CAPM formula in a market with N assets: variance. We want to extend the formula to a portfolio of the N assets with proportion vector given by 11 = (1 , 2: . . . ,TN). (a) (3 points) Define the beta factor of the portfolio by = Cov(Ry Rn). Prove that where ,1-1, 2, . . . , N, are the betas of the risky assets. (b) (3 points) Conclude the following extension 3. Recall the CAPM formula in a market with N assets: variance. We want to extend the formula to a portfolio of the N assets with proportion vector given by 11 = (1 , 2: . . . ,TN). (a) (3 points) Define the beta factor of the portfolio by = Cov(Ry Rn). Prove that where ,1-1, 2, . . . , N, are the betas of the risky assets. (b) (3 points) Conclude the following extension