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2. Let R; and R; be random variables representing annual excess returns on securities i and j in the total market, under the assumptions of the CAPM. a) Write the regression equation for Ri, including the statistical conditions on the error terms, and identify the terms representing the systematic and idiosyncratic risks. b) Show that Oij = BiBjOM where off is the covariance of R; and R; , and om is the variance of the excess return of the market tangency portfolio. Hint: You may find the following identity useful, where X, Y, Z are random variables: Cov(X + Y, Z) = Cov(X, Z) + Cov(Y, Z)