4 (18 points) (a) (9 points) Consider the following 6 portfolios and a risk-free asset. The risk-free rate of return is 1.5% and the expected returns and standard deviations of the 6 portfolios are in the following table Portfolio A B C D E F Expected return 3.2% 8.1% 9.8% 5.1% 10.7% 4.8% Standard deviation 2.7% 9.9% 13.7% 6.2% 17% Note: the entries are in % e.g. 3.2% = 0.032. Rank the portfolios from best to worst. Show all work. 6.1% (b) (9 points, 3 points for each Case) For each of the following cases deter- mine whether it is consistent or inconsistent with CAPM. BRIEFLY explain (justify) your answers. Let A and B denote arbitrary risky securities while F and M represent the risk-free asset and the market portfolio, respectively. For example, in Case 1, is it possible for the securities to have the expected return values and beta values as given and not violate CAPM? security E (expected return) 3 (beta) (i) Case 1: A 25% B 15% 2 0.8 1.2 security E(expected return) (standard deviation) (ii) Case 2: A 25% 30% M 15% 30% security E (expected return) (standard deviation) A 25% (iii) Case 3: 55% F 5% 0% M 15% 30%