All sub-questions a) - k) relate to the following information:

Consider the following seven (7) portfolios plotted with the Minimum Variance Frontier. Assume all portfolios, except portfolio G, are fairly priced according to the CAPM:

The risk-free rate in the market is 8.0%. The return and risk of each of the seven portfolios is as follows:

Portfolio	Expected Return	Standard Deviation
A	12.2%	11.4%
B	20.2%	15.7%
C	23.6%	19.5%
D	26.4%	22.7%
E	15.0%	15.7%
F	20.2%	22.5%
G	3.0%	19.0%

This question (parts a - k) is worth 13 marks in total.

For each part, if you enter the correct answer you will receive full marks (even if you don't show working). If you choose to show working (either typed into the space provided or as one handwritten PDF file in Question 66), and get the answer incorrect, you may receive part marks. If you simply enter the incorrect answer and do not show working, you will not receive any part marks.

a) Given that one of these portfolio's is the GMVP, what is the expected return of the GMVP? (0.5 marks)

Enter your answer to 3 decimal places eg if your answer is 6.54% enter as 0.065.

b) Assume that one of these portfolio's is the Market Portfolio. Given that all portfolios, except portfolio G, are fairly priced according to the CAPM, what is the market risk premium? (1 mark)

Enter your answer to 3 decimal places eg if your answer is 6.54% enter as 0.065.

c) Assume that one of these portfolio's is the Market Portfolio. What is the slope of the capital market line? (1 mark)

d) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. What is the beta of portfolio F? (0.5 marks)

e) If the market were in a CAPM equilibrium with all assets fairly priced, would Portfolio G be possible? Why or why not? What would an arbitrageur do with Portfolio G and what would be the impact on its price and expected return? (1.5 marks)

f) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. What is the slope of the security market line? (0.5 marks)

g) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. What is the systematic risk (expressed as a variance) of portfolio F? (1 mark)

h) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. What is the unsystematic risk (expressed as a variance) of portfolio E? (1.5 marks)

i) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. In addition assume there is no residual covariance between portfolios. What it is the correlation between Portfolio E and Portfolio F? (2 marks)

j) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. Derive the Treynor Measure for these fairly priced assets and explain why they are equal. (1.5 marks)

k) Assume that one of these portfolio's is the Market Portfolio and all portfolios, except Portfolio G, are fairly priced according to the CAPM. What is the highest utility score that can be achieved by an investor with a risk aversion coefficient of A=5? (2 marks)