Consider the following information on Pepsi and Apple stocks:

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 % ? and Apple % ?

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 % ? and Standard Deviation % ?

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 ? Weight Apple ? Weight Market ? Weight Risk-free ?

Portfolio E Std. Dev. % ?

d) Find the efficient portfolio F offering 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. % ?