46. Suppose you group all the stocks in the world into two mutually exclusive portfolios (each stock is in only one portfolio): growth stocks and value stocks. Suppose the two portfolios have equal size (in terms of total value), a correlation of 0.5, and the following characteristics: Expected Return Volatility Value Stocks 12% Growth Stocks 17% 25% 13% The risk-free rate is 2%. a. What is the expected return and volatility of the market portfolio (which is a 50-50 combi- nation of the two portfolios)? b. Does the CAPM hold in this economy? (Hint: Is the market portfolio efficient?) 46. Suppose you group all the stocks in the world into two mutually exclusive portfolios (each stock is in only one portfolio): growth stocks and value stocks. Suppose the two portfolios have equal size (in terms of total value), a correlation of 0.5, and the following characteristics: Expected Return Volatility Value Stocks 12% Growth Stocks 17% 25% 13% The risk-free rate is 2%. a. What is the expected return and volatility of the market portfolio (which is a 50-50 combi- nation of the two portfolios)? b. Does the CAPM hold in this economy? (Hint: Is the market portfolio efficient?)