Suppose there are stocks A and B, with Ba = 1.5 and Bp = 0.5. It is known that the market portfolio has an expected return rm= 10%, and a variance om? = 0.04. Stock A has an expected return r A= 14%. (a) Suppose the market portfolio is efficient. Derive the risk-free rater and the expected return of stock B, PB- (b) Suppose the idiosyncratic variance of stock A is 0.11. Derive the variance of return of stock A, . (C) Suppose a new portfolio constructed with stocks A and B is the minimum variance portfolio. The expected return of this portfolio is 7.5% and we know that Og = 2'04. Derive PAB