Assume CAPM is correct (the market is the tangency portfolio), and all securities are priced correctly. Fill in the blanks.

Security Expected Returns Variance Standard Deviation Correlation(wrt Market) BETA

Market 0.12 ______ 0.30 ___________ 1

Risk-free 0.04 ______ ______ 0.0 0

Stock D ______ ______ 0.40 ______ 1.1

Stock E ______ ______ 0.60 0.40 ______

Stock F ______ ______ 0.30 0.90 ______

Thank you!