Portfolio ABC that is consisted by a risk-free asset and a market portfolio has an expected return of 9% and a standard deviation of 13%. The risk-free rate is 5%. The expected return on the market portfolio is 12% and the standard deviation on market portfolio is 20%. Assume capital asset pricing model (CAPM) holds. Question 2: Suppose that portfolio DEF has a standard deviation of 40% and a 0.45 correlation with the market portfolio. What