following expected return and risks: Loans Risk 0.06 2 Expected Returns 0.14 0.08 0.2 0.05 0.03 0.15 In addition, the assets correlate with each other, the correlation coefficients of the returns of the assets are as follow: P12 = P21 = 0.5 P13 = P31 = 0.2 223 = P32 = 0.4. Show that CML is given by = 26+298720, the optimal portfolio of risky assets is a1 = 7, 22 = i, 23 = 5, the market price of risk is 1.66, and the risk of the optimal portfolio is 0.058. V 609