Exercise 50 Assume the risk-free rate is 0.06, the return on the market portfolio is 0.11, and the variance of the market portfolio's return is 0.0025. An asset has a stan- dard deviation of 0.24, and its returns have a correlation coefficient of 0.30 with the market portfolio's returns. (i) What is the beta of this asset ? And what is the required return on this asset ? (ii) Assume your utility function is where is the risk-aversion coefficient and equals 2. What is the certainty equivalent rate of return (CER) of this risky asset to you? (iii) If you invest 40% of your wealth in the riskless asset and the remain- ing in this asset, what is the beta of your investment ? (iv) In order to obtain 16% return, how should you invest in this risky asset and the risk-free asset