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Suppose portfolio j is an efficient portfolio. The expected return of portfolio jis 0.2, the expected return of market portfolio Mis 0.15, the risk-free rate

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Suppose portfolio j is an efficient portfolio. The expected return of portfolio jis 0.2, the expected return of market portfolio Mis 0.15, the risk-free rate is 0.05, and the standard deviation of the market portfolio returns is 0.2. (a) What is the CAPM beta of portfolio ? What is portfolio j's correlation with the market? (30 Marks) (b) How would you construct the efficient portfolio ? (20 Marks) (Total 50 Marks)

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