Assume the CAPM holds. Stock A has a variance of 0.04. Stock B has a variance of 0.09. The Sharpe Ratios of the stocks are 0.4 and 0.2 for A and B respectively.

a) Which stock, A or B, has more systematic risk? Explain. Assume that Stock A has a beta of 0.8 and the risk-free rate is 3 percent.

b) What is the expected return on the market portfolio?

c) What is the beta of an equally weighted portfolio of A and B?

d) What correlation coefficient (between returns to A and returns to B) is required to generate a Sharpe Ratio of 0.5 for the equally weighted portfolio of A and B?

Don't USE CHATGPT or any other Bot to answer, please ! And give complete calculations. Thanks