CAPM In a market where the CAPM holds there are five risky assets with the following attributes per year. The risk-free rate is r = 1% pa. (i) Calculate the expected return on the market portfolio. (ii) Deduce the market capitalisation of asset 4 and the betas of all the other assets. (iii) Calculate the beta of a portfolio P which is equally weighted in the five assets and the risk-free asset. (iv) Explain whether or not this portfolio P lies on the Capital Market Line Asset number 1 2 3 4 5 Expected return 6% 5% 8% 139 11% Market capitalisation in S) 2.6m 3.9m 5.2m 1.3m Beta 1.5