Assume the risk-free rate is 4% (rf = 4%), the expected return on the market portfolio is 12% (E[rM] = 12%) and the standard deviation of the return on the market portfolio is 16% (M = 16%). (All numbers are annual.) Assume the CAPM holds.

1. What are the expected returns on securities with the following betas: (i) = 1.0, (ii) = 1.5, (iii) = 0.5, (iv) = 0.0, (v) = -0.5?

2. What are the betas of securities with the following expect returns: (i) 12%, (ii) 20%, (iii) -4%?

3. What are the portfolio weights (in the risk-free asset and the market portfolio) for efficient portfolios (portfolios on the efficient frontier) with expected returns of (i) 8%, (ii) 10%, (iii) 4%, (iv) 24%.

4. What are the portfolio weights (in the risk-free asset and the market portfolio) for efficient portfolios (portfolios on the efficient frontier) with standard deviations of (i) 4%, (ii) 20%, (iii) 16%.

5. What are the correlations between the portfolios in (i) Q.1c(i) and Q.1c(iv), (ii) Q.1d(i) and Q.1d(ii)?

Please do #5 and show work. Q1c(i) weights are: rf = .50 and rm=.50 Q1c(iv) weights are: rf = -1.5 and rm = 2.5 Q1d(i) weights are: rf = .75 and rm = .25 Q1d(ii) weights are: rf = -.25 and rm = 1.25