4. (15 pts) Suppose a financial market that have only three risky assets, stocks A, B and C, whose details are given in the following table. It is known that the expected return of the market portfolio is 20%. Assuming that this market satisfies the CAPM, and there exists a risk-free asset, answer the following questions. Price per share Expected return Standard deviation Correlation with Stock B Stock A Stock C Number of outstanding shares 100 100 Stock A Stock B Stock C $10 $5 $10 15% 20% 20% L 0 0.5 50 20% 0.5 (a) (1 pts) Find the covariance matrix . (b) (4 pts) Find the standard deviation of the market portfolio (c) (3 pts) Find the beta of stock C. (d) (3 pts) Find the return of the risk-free asset. (e) (4 pts) Find the expected return of stock B 4. (15 pts) Suppose a financial market that have only three risky assets, stocks A, B and C, whose details are given in the following table. It is known that the expected return of the market portfolio is 20%. Assuming that this market satisfies the CAPM, and there exists a risk-free asset, answer the following questions. Price per share Expected return Standard deviation Correlation with Stock B Stock A Stock C Number of outstanding shares 100 100 Stock A Stock B Stock C $10 $5 $10 15% 20% 20% L 0 0.5 50 20% 0.5 (a) (1 pts) Find the covariance matrix . (b) (4 pts) Find the standard deviation of the market portfolio (c) (3 pts) Find the beta of stock C. (d) (3 pts) Find the return of the risk-free asset. (e) (4 pts) Find the expected return of stock B