b) An investor is considering investing in the following two stocks, X and Y: Expected return Variance 10% 15% 6% 8% Y The correlation between the two securities returns is -0.2. Calculate the expected return and standard deviation of the following four portfolios: Proportions (%) Portfolio 25 75 2 75 25 3 50 50 4 100 0 (6 marks) 1 ) Discuss the Roll critique in relation to the empirical testing of the CAPM. (7 marks)