Consider the following properties of the returns of stock 1, the returns of stock 2 and the returns of the market portfolio {m}: Standard deviation of stock 1 of 2 use Standard deviation of stock 2 o2 = {1.3-3 Correlation between stock 1 and the market portfolio p1,m 2 I212 Correlation between stock 2 and the market portfolio p2,m = I215 Standard deviation of the market portfolio om = {1.2 Expected return of stock 1 Efr1} = ELDS Suppose further that the riskfree rate is 5%. a) According to the Capital Asset Pricing Model, what should be the expected return on the market portfolio and the expected return of stock 2'? b) Suppose that the correlation between the return of stock 1 and the return of stock 2 is {1.5. What is the expected return, the beta, and the standard deviation of the return of a portfolio that has a E't'a investment in stock 1 and a scat investment in stock 2