Short Question (SQ3) (15%) Consider an economy with only three risky stocks A, B, and C and one riskfree asset, T-bill. CAPM holds in this economy, and the market portfolio in this economy is consisted of stocks A, B, and C. You observe an investor's optimal portfolio, denoted as portfolio P, as below. Some statistics of the returns of the four assets and portfolio P are also reported in the table below. All the returns are efficient under CAPM. Firm-specific surprises are uncorrelated. Assets Allocation weights Portfolio P Correlation with Standard in return on deviation Portfolio P return Expected of return Stock A 50% 0.8 0.25 Stock B 20% 0.6 0.40 Stock C 20% 0.2 0.10 T-Bill 10% 0 0.00 1% Portfolio P 100% 1 0.152 8% Based on the information in the table, please answer the following questions: (A) In this economy, what are the weights on stocks A, B, and C in the market portfolio. (3%) (B) In this economy, what are the risk premium and standard deviation of the market portfolio? (4%) (C) In this economy, what is the CAPM beta of this investor's portfolio P? (3%) (D) In this economy, what is the CAPM beta of stock A? (5%)