Currently the market expected return E(RM), the market volatility OM, and the risk-free rate Rs are 10%, 20%, and 2%, respectively. Assume the CAPM holds. (a) GM's stock return has a volatility (OG) of 25%, and a correlation with the market of PGM=0.64. What is GM stock's expected return? (b) What is GM stocks idiosyncratic volatility? (C) Starbuck's stock return has the same volatility, i.e., Os=25%, but the correlation with the market portfolio Psa=0.56. Compute Starbuck's Bs and E(Rs). What can you learn by comparing results in (b) and (c) (on expected returns, systematic risk, and idiosyncratic risk)? (d) A portfolio p that invest equally in both GM and Starbuck, has a correlation of Ppm=0.75 with the market. What is the portfolio volatility? Comment on the diversification effect