Suppose the that stochastic discount factor is linear in the market return, rm, as follows m = 1.28 2.44rm. The historical market return is E (rm) = 12%. A security A has an expected return of 15%. What is the beta of security A? What is the Sharpe ratio of the market portfolio? Is it smaller or larger than the Sharpe ratio of a portfolio that has 80% allocated to the market portfolio and 20% allocated to security A?