Consider the following information on Pepsi and Apple stocks: Pepsi 0.39 12% Apple 1.25 Beta Standard Deviation 36% The expected return on the market portfolio is 12% and its standard deviation is 24%. The risk-free rate is 6%. The correlation coefficient between Pepsi and Apple is 0.65. Assume that CAPM holds. There are no short-selling restrictions, and you can borrow and lend at the risk-free rate. (Round your final answers to 2 decimal places. Enter percentages "as-is", without the % sign, enter weights as decimals (e.g., 5.873% return would be entered as 5.87. A weight of 0.257 would be entered as 0.26)). a) Find the expected returns on Pepsi and Apple. Pepsi 8.34 % Apple 13.50% b) Imagine you have $1000 cash to invest. You short-sell $500 worth of Pepsi and put the proceeds along with your own capital into the Apple stock (total of $1500). What is the expected return and standard deviation of this portfolio? Expected Return 16.08 % Standard Deviation 50.31% c) Find the efficient portfolio E offering the same expected return as the portfolio in part b (find means specify the weights of the assets). What is the standard deviation of this portfolio? Weight Pepsi 0 Weight Apple 0 Weight Market 1.680 Weight Risk-free -0.680 Portfolio E Std. Dev. 40.32% d) Find the efficient portfolio Foffering the same standard deviation as the portfolio in part b (find means specify the weights of the assets). What is the expected return of this portfolio? Weight Pepsi Weight Apple Weight Market Weight Risk-free Portfolio F Exp. Ret. %