Consider a market with three risky assets A, B, and C. M is the market portfolio. F is the risk-free asset. This is a perfect market with no taxes or other frictions, and the prices given are equilibrium prices. All returns are annual returns Correlation Matrix Market E(R) Capitalisation A A 9.00% B 13.00% 11.00% F3% 15% 20% 16% 0% 200 300 500 1.000.40 0.20 1.00 0.30 1.00 Where E (R)is the expected return, is the standard deviation A. What is the expected return and standard deviation of the market portfolio M? (6 marks) B. What is the beta of Asset A? (3 marks) C. Now you have $100,000 to invest in the market portfolio M and the risk-free asset F. How much should you invest in M and F so that the portfolio has the same level (5 marks) of risk as Asset C? D. Without doing any calculations, can you conclude whether the expected return on the Portfolio in Part B is higher or lower than that of Asset C? Explain your answer. (4 marks) E. What is the highest Sharpe Ratio in the market? (4 marks)