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E(RA) = 0.12 E(RB) = 0.15 E(RM) = 0.13 Ri= 0.03 Std Dev(RA) = 0.16 Std Dev(RB) = 0.22 Corr(RA,RB) = 0.6 Ba=0.8 BB= 1.1

E(RA) = 0.12 E(RB) = 0.15 E(RM) = 0.13 Ri= 0.03 Std Dev(RA) = 0.16 Std Dev(RB) = 0.22 Corr(RA,RB) = 0.6 Ba=0.8 BB= 1.1 a) (15 points) What is the composition of the tangency portfolio formed between A and B? b) (15 points) What is the CAPM alpha of this tangency portfolio

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