Assume that E( )=20%if r, = 5%, and E(TM)=15% and o("M)= 20%. a. What is the beta of an efficient portfolio? b. What is its o() ? c. What is the correlation of this portfolio's return with the market return? d. Suppose a stock k has E()= 20% and o? ()=52% , what is the systematic risk if this common stock? What is its unsystematic risk? (2. Assume that there is no risk-free asset and two risky assets. Assume that E(7)=15% E(6)=10% 0, = 25% 02 = 20% Piz=0 We require an expected return of E=14% on the portfolio composed by these two assets. Compute the optimal weights, the standard deviation of the portfolio, as well as the expected return and variance of the minimum variance portfolio using formulae in the lecture notes and not Matlab (you could use Matlab to verify your results). Plot the frontier in expected return-standard deviation space