Assume that the mean-variance opportunity set (efficient frontier) is constructed from only two risky assets, A and B. Their variance-covariance matrix is T.0081 V= 0 0 .0025 Asset A has an expected return of 30%, and Asset B has an expected return of 20%. Assume that two investors, I and J, have homogenous expectations. Suppose investor / chooses a "market portfolio (or index portfolio) to consist of 75% in asset A and 25% in asset B, whereas investor I chooses a different "market portfolio" to consist of 50% in asset A and 50% in asset B. Answer the following questions. a) Plot the efficient frontier and label portfolios A, B, I and I on this frontier. b) Given these facts, what beta will each investor calculate for asset A? c) Given your answer to part (b), which of the following is true and explain why? i. Investor / will require a higher rate of return on Asset A than will investor J. ii. They will both require the same return on asset A. iii. Investor ) will require a higher rate of return on Asset A than will investor I. d) Compute the zero-beta portfolios and the equations for the security market line for each investor. Label the zero-beta portfolios (ZA and ZB) on the efficient frontier. Assume that the mean-variance opportunity set (efficient frontier) is constructed from only two risky assets, A and B. Their variance-covariance matrix is T.0081 V= 0 0 .0025 Asset A has an expected return of 30%, and Asset B has an expected return of 20%. Assume that two investors, I and J, have homogenous expectations. Suppose investor / chooses a "market portfolio (or index portfolio) to consist of 75% in asset A and 25% in asset B, whereas investor I chooses a different "market portfolio" to consist of 50% in asset A and 50% in asset B. Answer the following questions. a) Plot the efficient frontier and label portfolios A, B, I and I on this frontier. b) Given these facts, what beta will each investor calculate for asset A? c) Given your answer to part (b), which of the following is true and explain why? i. Investor / will require a higher rate of return on Asset A than will investor J. ii. They will both require the same return on asset A. iii. Investor ) will require a higher rate of return on Asset A than will investor I. d) Compute the zero-beta portfolios and the equations for the security market line for each investor. Label the zero-beta portfolios (ZA and ZB) on the efficient frontier