Suppose that two stocks, Alpha and Beta, with corresponding returns ra and rp, have the following historical annual statistics: (i) (ii) (iii) (iv) (v) The expected returns of Alpha and Beta are E (ra) = 8% and E (TB) = 14%. The variances of the return are o = 10% and og = 18%. The correlation of the returns for these two stocks is 0.25. A portfolio p that consists of only stocks A and B has the expected return of 9.2%. The average market risk premium is 10% and a risk-free asset generates a return of 2%. The variance of the market return is ok = 12%. 1.1 Calculate the variance of the portfolio p's return. (Hint: first, you will need to find the portfolio weights in Alpha and Beta. Also, you have to back out the covariance from the correlation using the formula Corr(raro) Cov(ra,rB)). 1.2 Based on the CAPM, what is the beta Bp of portfolio p