9.09 9 points Skipped Problem 7-28 (Algo) Required: Assume both portfolios A and B are well diversified, that E(A) = 12.0% and E(rg) = 13.1%. If the economy has only one factor, and BA 1 while BB = 1.2, what must be the risk-free rate? (Do not round intermediate calculations. Round your answer to 1 decimal place.) Risk-free rate % eBook Print References = 10 9.09 points Skipped Problem 7-29 (Algo) Assume the return on a market index represents the common factor and all stocks in the economy have a beta of 1. Firm-specific returns all have a standard deviation of 33%. Suppose an analyst studies 20 stocks and finds that one-half have an alpha of 3.1%, and one-half have an alpha of -3.1%. The analyst then buys $1.3 million of an equally weighted portfolio of the positive-alpha stocks and sells short $1.3 million of an equally weighted portfolio of the negative-alpha stocks. eBook Print References Required: a. What is the expected profit (in dollars), and what is the standard deviation of the analyst's profit? (Enter your answers in dollars not in millions. Do not round intermediate calculations. Round your answers to the nearest dollar amount.) Expected profit Standard deviation b-1. How does your answer for standard deviation change if the analyst examines 50 stocks instead of 20? (Enter your answer in dollars not in millions. Do not round intermediate calculations. Round your answer to the nearest dollar amount.) Standard deviation b-2. How does your answer for standard deviation change if the analyst examines 100 stocks instead of 20? (Enter your answer in dollars not in millions.) Standard deviation 9.1 11 points eBook Problem 7-25 (Algo) Suppose the yield on short-term government securities (perceived to be risk-free) is about 5%. Suppose also that the expected return required by the market for a portfolio with a beta of 1.0 is 15.0%. According to the capital asset pricing model: Required: a. What is the expected return on the market portfolio? (Round your answer to 1 decimal place.) Expected rate of return % Print References b. What would be the expected return on a zero-beta stock? Expected rate of return % Suppose you consider buying a share of stock at a price of $60. The stock is expected to pay a dividend of $7 next year and to sell then for $63. The stock risk has been evaluated at = -0.5. c-1. Using the SML, calculate the fair rate of return for a stock with a = -0.5. (Round your answer to 1 decimal place.) Fair rate of return %