Assume the risk free rate is 2.0%. The SP500 is considered the market. Today (T=0), you invest $400 in Stock A and $600 in Stock B to create Portfolio A,B. Assume there are no taxes or dividends. The one year performance of the stocks and the market is summarized in the table below. Use this information to help answer questions 15-17. Investment Total Return Total Risk Beta Market $ Stock A $ 12.0% 14.0% 1.00 400 18.0% 15.0% 1.40 Stock B $ 10.0% 600 12.0% 0.60 Using the CAPM, the value of your portfolio at the end of the year (T=1) is closest to: 15. a. $1100 b. $1122 c. $1120 d. $1128 e. $1140 Assuming the correlation of stock A & B is zero (which your book assumes for all securities), Portfolio A,B's total risk is closest to: 16. a. 9.4% b. 10.2% 11.1% d. 12.8% e. 13.2% C. In lecture, we discussed how assuming the correlation between any two assets is zero is dangerous because it can often underestimate total risk in a portfolio. For this problem only, assume you calculate the correlation between two assets to be 0.40 instead of 0.00. Using your lecture notes, Portfolio A,B's total risk is closest to: 17. a. 10.2% b. 11.1% 12.8% C. d. 13.2% 14.2% e