Short Question (SQ3) (15\%) Consider an economy with only two risky stocks Value and Growth and one risk-free asset, Tbill. CAPM holds in this economy, and the market portfolio in this economy consists of Value and Growth. You observe an investor's optimal portfolio, denoted as portfolio Q, as below. Some statistics of the returns of the three assets and weights in portfolio Q are also reported in the table below. All the returns are efficient under CAPM. Firm-specific surprises are uncorrelated. Based on the information in the table, please answer the following questions: (A) What is the standard deviation of the market portfolio in this economy? (3\%) (B) What is the standard deviation of the return on portfolio Q(2%) (C) If some investor wants only one half of the standard deviation of Q, what are the weights he/she should allocate to the three assets? (5%) Growth: Value: T-bill: (D) If the expected return on portfolio Q is equal to 0.058 , what are the expected returns on Growth and Value stocks? (5\%)