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Assume that the assumptions of the CAPM hold. The expected return and the standard deviation of the market portfolio are 7% and 14%, respectively. There

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Assume that the assumptions of the CAPM hold. The expected return and the standard deviation of the market portfolio are 7% and 14%, respectively. There are two individual stocks A and B: Mean 4% 12% Stock A has a correlation of 0.2 with the market portfolio. Standard Deviation 18% 36% A. What is the beta of stock A? B. What is the risk free rate? C. What is the beta of a portfolio with 40% in stock A and 60% in stock B? D. What is the idiosyncratic volatility of the portfolio from part C? E. Stock C has a standard deviation of 40%. Determine True or False: according to the CAPM, the expected return of stock C is greater than that of stock B. Explain your

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