A market portfolio is made up entirely of the following 4 securities: Total Value in Millions Standard Correlation with In millions deviation A B D Security A $60 20% A 1.0 0 0 0 Security B $40 35% B 0 1.0 0 0 Security C $50 45% C 0 0 1.0 0 Security D $50 50% D 0 0 0 1.0 (1) Calculate the standard deviation of the market portfolio. (2 marks) (ii) If the risk-free rate of interest is 4% and the expected rate of return on the market portfolio is 12%. Draw a diagram to depict the relevant capital market line. (3 marks) (iii) You have to advise someone seeking to obtain an expected rate of return of 15%. What investment strategy do you advise them to achieve this and what standard deviation can they expect? (3 marks) [Total 8 marks)