Please answer the following questions completely. Would be appreciated if can answer all questions (A, B, C, E) thanks

4. This question is about the CAPM Consider two CAPM economy. (e., without individual risk portfolios A and B in return of The expected return of portfolio A is E(RA-15% and the expected portfolio portfolio B is E(RB) 3%. The CAPM beta for portfolio A is 1.2 and for B is 0. The standard deviation of the market portfolio is 20%. a) 5 marks) suppose portfolios A and B are correctly priced according to the CAPM. Calculate the market risk premium and the riskless rate. Derive and the security market line and label the riskless rate and market risk premium on the plot. b) [5 marks] Suppose there is a well-diversified portfolio c with CAPM beta Ac 2 and E(R) 20%. Is there an arbitrage opportunity? If yes, construct an arbitrage strategy. c) 15 marks) suppose, portfolio c is not well diversified. Its return is given by r. rrtBe(rM-r)+E, where E is portfolio c's idiosyncratic risk (.e., individual risk)with standard deviation 30%, r is risk-free rate, and Mis return on market portfolio. "What is the total variance of portfolio C? ls the arbitrage strategy in b stil an arbitrage strategy? d) [5 marks] As we discussed in class, the CAPM is derived based on a number of assumptions. List two of the key assumptions. e) [5 marks] Describe how the efficient frontier looks like when investors can lend money at the riskless rate r but cannot borrow at all