Assume that CAPM holds and that there are only two stocks: A and B

The portfolio share of A in the market portfolio is 0.74, its beta is 1.210, and its expected return is 7.17%. The risk-free rate is 1%

(1pt) Calculate the expected return on the market portfolio. (1pt) Derive the relationship between the beta of A, the beta of B, and the beta of the market. (1pt) Calculate the beta of B. (1pt) Suppose the standard deviation of the market portfolio return is 26% and the standard deviation of A return is 32.2%. What fraction of A variance represents idiosyncratic risk?