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. (1 mark) Assume that Stock A has a beta of 0.8 and risk-free rate is 3 percent. b) What is the expected return on the market portfolio? (1 mark) c) What is the beta of an equally weighted portfolio of A and B? (1 mark) 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? (1 mark)