Assume that the market is in equilibrium and you are given the following data on securities A and B and the market portfolio.

Security	Expected return	Cov. With A	Cov. With B	Cov. With M
A	8%	0.05
B	3.08%	0.02	0.25
Market Portfolio	5%	????	0.03	0.05

The risk-free rate is 2%. In equilibrium, what is the covariance of return of security A with the market portfolio implied by the above information?

Select one:

a. 0.1

b. 0.01

c. 0.02

d. 0.03

Based on the given information in the previous question, assume that you have OMR10,000 available to invest. If you sell short OMR8,000 of security A, and invest all the available funds in security B, what is the beta of stock A and B, respectively?

Select one:

a. A=0.03 , B=0.1

b. A=0.6 , B=2

c. A=0.1 , B=0.03

d. A=2 , B=0.6

Based on the previous question, assume that you have OMR10,000 available to invest. If you sell short OMR8,000 of security A, and invest all the available funds in security B, what is the portfolio's beta?

Select one:

a. -0.52

b. -0.62

c. 0.52

d. 0.62

Based on the information provided in the previous question, suppose you can form any portfolio from stocks A and B, with short selling and no leverage. You want expected returns of 15%. What will the standard deviation of your portfolio be closest to?

Select one:

a. 1.6

b. 1.98%

c. 0.0198

d. 14.1%