= Suppose the CAPM is true, and you manage a portfolio whose systematic risk variance is given by var(rp,t+1) = 0.1. You know that the risk-free rate is 5%, the expected return on the market is 15%, the market variance is 0.05 and your portfolios idiosyncratic variance is 0.25. What is the of your portfolio? A) .5 B) .7 C) 1.2 D) 1.4 E) None of the above