Part A Discuss Roll's (1977) critique on the Capital Asset Pricing Model (CAPM). (10 Marks) Part B Mr. Lee has 10,000 to invest in shares, and his prospective portfolio is shown below: Amount to be invested Expected return Beta Share A 2,000 0.20 1.6 Share B 4,500 0.10 0.9 Share C 2,500 0.12 1.1 Share D 1,000 0.18 1.4 a) Calculate the expected return on his portfolio. (5 marks) b) Calculate the beta of his portfolio. (5 marks) c) The risk-free rate is 3% and the market return is 10%. Using the beta of his portfolio, calculate the expected return on his portfolio according to the Capital Asset Pricing Model (CAPM). (5 marks)