Question 2 (24 points) Part 1 Suppose that the market's Standard Deviation is 7%, the risk-free rate is 3.5% and the market's risk premium (Er(m)-rf) is 4.5%. Stock X has a Standard Deviation of 12% and a correlation with the market portfolio of 0.2. a. What is the beta of stock X? Answer: the beta of stock X is: b. What is the idiosyncratic (unsystematic) risk (in terms of variance) of stock X? Answer: the idiosyncratic risk of stock X is: c. What is the expected return of stock X? Answer: the expected return of stock X is