An individual common stock has a beta of 0.9 and a correlation coefficient of 0.9. the expected return of the stock is 20%, and the standard deviation of its returns is 12%. If a risk-free asset has an expected return of 4%, then

a) the expected return on the market portfolio is 22%.

b) the market returns standard deviation is 12%.

c) the beta of the market returns is 0.9.

d) both a) and b) are true.

e) both a) and c) are true.

*Please show process