Consider the following information about investments A, B, and C: Investment A B Market Risk-free Asset Standard Deviation 40% 50% 25% Expected Return 10% 2% The correlations are as follows: B Market A 0.3 0.6 B 0.8 1. What is the beta of stock A? What is the beta of stock B? (3 points) 2. Suppose Capital Asset Pricing Model (CAPM) holds. What is the expected return of stock A? What is the expected return of stock B? (3 points) 3. Consider a portfolio with 80% investment in stock A and 20% investment in stock B. What is the portfolio's Sharpe ratio? (4 points)