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c. The Sharpe ratio and Jensen's alpha of portfolio A are 0.10 and 0.004, respectively. The risk-free rate is 3%, the average return on the

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c. The Sharpe ratio and Jensen's alpha of portfolio A are 0.10 and 0.004, respectively. The risk-free rate is 3%, the average return on the market portfolio is 7%, the variance of the market portfolio is 0.09, and the correlation coefficient between A and the market portfolio is 0.7. What is the expected return and the variance of A? (9 marks)

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