Question 1 (Essential to cover) Consider a market described by the table below. The risk-free rate, rf = 3%. Stock A B Price 72 81 140 Issued Stocks 900 1200 600 35.0% 40.0% 20.0% Cov(i, A) 0.1225 0.0980 0.0420 Cov(i, B) 0.0980 0.1600 0.0400 Cov(i, C) 0.0420 0.0400 0.0400 a. Create a portfolio with a CAPM B of 0.8 and a positive weight in the risk-free asset. b. Create a portfolio with a CAPM B of 1.1 and zero weight in the risk-free asset. a c. The required return of stock B, E(rs) = 11.24% and the required return of stock C, E(Rc) = 6.43%. What are the required returns of stock A, E(ra), and of the market, E(rm)