6. The standard deviation and risk premium of market portfolio are 20% and 8% respectively. Risk free interest rate is 3%. There is an investor with mean-variance utility function U = E(rc) Ao. 1) Calculate the optimal weight to be invested in the market portfolio for the investor with A = 4. (8 marks) 2) Calculate the expected return and standard deviation of the optimal complete portfolio for the investor with A = 4. (8 marks) 3) According to CAPM, calculate the expected returns of two stocks with betas equal to 0.8 and 1.5 respectively. (14 marks)