Question 9 - CAPM [2 points]: Mikkelson Corporation's stock had a required return of 11.75% last year, when the risk-free rate was 5.50% and the market risk premium was 4.75%. Then an increase in investor risk aversion caused the market risk premium to rise by 2%. The risk-free rate and the firm's beta remain unchanged. What is the company's new required rate of return? (Hint: First calculate the beta, and then find the required return.) Question 10 - Portfolio Beta and CAPM (2 points): Assume that you are the portfolio manager of the SF Fund, a $3 million hedge fund that contains the following stocks. The required rate of return on the market is 11.00% and the risk-free rate is 5.00%. What rate of return should investors expect (and require) on this fund? (Hint: First calculate the market risk premium, then compute the portfolio beta, and finally find the portfolio's required rate of return.) Stock A B D Amount $1,075,000 675,000 750,000 500,000 $3.000.000 Beta 1.20 0.50 1.40 0.75