Consider the following information relating to the following three assets: Asset C, the 10 year government bond rate (which can be used as a proxy for the risk-free rate of return) and the ASX 200 index (which can be used as a proxy for the market portfolio).

Asset C: Standard deviation of returns (p.a.) 0.35, Expected return (p.a.) ? 10-year govt bond: Standard deviation of returns (p.a.) 0, Expected return (p.a.) 0.03 ASX200 Index: Standard deviation of returns (p.a.)0.15, Expected return (p.a.) 0.10

Correlation between Asset C and the 10-year government bond: 0 Correlation between Asset C and the ASX200 Index: 0.65 Correlation between the ASX200 Index and the 10-year government bond: 0

(a) What is the beta of Asset C? (to 2 decimal places) (b) According to the CAPM what is the expected return of Asset C? (express as a percentage figure to 2 decimal places e.g. 50.04%) (c) According to the CAPM what is the beta and expected return of a portfolio consisting of a 50% investment in Asset C and a 50% investment in a diversified portfolio that replicates the ASX200? (express your answers as in (a) and (b))