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8. Consider an asset with return Ri. Suppose that the variance of R; is 0.04 and that the market component of the variance of Ri

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8. Consider an asset with return Ri. Suppose that the variance of R; is 0.04 and that the market component of the variance of Ri is 0.03. Let Ng denote the risk-free return and assume that Mi = E(Ri) > Mf. a. Find the correlation of R and Rm, the return on the market portfolio b. If the Sharpe ratio of the market portfolio is 0.12, find Mi-Mifo

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