4. a) suppose there are 3 risky assets A, B and C Expected Return 10% 20% 25% Volatility 0.2 0.3 0.4 Asset The correlation between A and B is 0.2 and asset C is uncorrelated with both A and B. Suppose your desired level of rate of return is 20% and you want to fully invest your money. what is your mean-variance optimal portfolio, assuming that portfolio weights add to 1 and no other restrictions? What is the portfolio volatility? b) Suppose the 'market portfolio" has expected return of 15% and volatility of 15%. The covariance between your portfolio and market portfolio is 0.03. Risk-free rate is 2%. Using CAPM, what is the beta for your portfolio? What's the difference between your portfolio's expected return (which is 20%) and the return required by CAPM