6. (20 points) You want to build an investment portfolio and decide to use the following version of the CAPM model, Rm = TL: + )61'(R1n,t Tm) + fat, 62;: "Valid N\"), 031-): as a tool to estimate the joint returns distribution of different assets. (a) What is the advantage of using this approach to estimate the joint distribution of returns? (b) Explain how to proceed to obtain point estimates of the parameters of the previous equation. Specify the variables to be used and the appropriate econometric methods. (c) Consider two risky assets A and B with relative parameters to the CAPM equation 5A 2 1.20, [33 = 0.45, 05A 2 0.17, 053 = 0.10. Suppose that EA; and 63,; are not correlated. Calculate the variance-covariance matrix of assets A and B if the risk (standard deviation) of the market portfolio is 0.15. (d) Give the proportion of the market risk of an equally weighted portfolio of asset A and B. (e) Name a practical limitation of the CAPM model when used to estimate the joint returns distribution of different assets. Suggest an alternative approach and explain why it should have been used instead