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1. Assume the risk-free rate is 4% (rf= 4%), the expected return on the market portfolio is 12% (E[TM] = 12%) and the standard deviation of the return on the market portfolio is 16% (OM= 16%). (All numbers are annual.) Assume the CAPM holds. a. What are the expected returns on securities with the following betas: (i) B = 1.0, (ii) B = 1.5, (iii) B = 0.5, (iv) B=0.0, (v) B = -0.5