Suppose that the market expected return is 10% with standard deviation of 20%. As- sume further the risk-free rate is 5%. You are considering an active investment strategy (call it "A"). Your analysis indicates that A has an expected return of 8% with standard deviation 30%. In addition suppose you find that the correlation between the market return and the return to strategy A is 0.3. (a) What is the beta of strategy A? What is the alpha of strategy A? Is the market mean-variance efficient? Why or why not? (c) How would you combine strategy A with the market portfolio to improve on the performance of the market portfolio? (d) Show how to use strategy A, the market portfolio and the risk-free return to create a portfolio with higher expected return than the market but that matches the risk of the market portfolio.