5. Once again adopt the CAPM assumptions. Suppose you have a project which can be sold in the future ("tomorrow") at a random price p that is normally distributed and has a covariance of -0.7 with the market portfo- lio. Let the market portfolio's expected return be 0.08 with a variance of 0.24, the risk-free rate 0.03, and assume that the expected price at which you can sell the project tomorrow is E (7) = 10. At which price can you expect to sell the project already today? 6. Consider the CAPM with two risky securities (but no risk-free asset) de- scribed by the following vector i of expected returns and the variance- covariance matrix : u = (0.2, 0.1) and = (od 0.01 0 0 0.064 :) (1) What is the vector of portfolio weights in the global minimum-variance portfolio? (2) If the market portfolio has 50% in the first security and 50% in the second, what is its expected return? (3) Under the same assumption, what is the expected return on a zero-beta portfolio? (4) What is the covariance between the global minimum-variance portfolio and the zero-beta portfolio