Suppose there are three risky assets (indexed by j=1,2,3 ) with the following j and j2 when regressed on the market porfolio. Assume that the pairwise correlations among j 's are all equal to 0.25. The variance of the return on market portfolio is M2=0.04. Note: here we define risk as the variance. (a) (5pts) What proportion of the total risk of stock 2 is due to market? (b) (5pts) Consider a portfolio with weights 1=0.5,2=0 and 3=0.5 on these three assets. What is the beta of this portfolio? (c) (5pts) What proportion of the total risk of the portfolio in (b) is due to market? Suppose there are three risky assets (indexed by j=1,2,3 ) with the following j and j2 when regressed on the market porfolio. Assume that the pairwise correlations among j 's are all equal to 0.25. The variance of the return on market portfolio is M2=0.04. Note: here we define risk as the variance. (a) (5pts) What proportion of the total risk of stock 2 is due to market? (b) (5pts) Consider a portfolio with weights 1=0.5,2=0 and 3=0.5 on these three assets. What is the beta of this portfolio? (c) (5pts) What proportion of the total risk of the portfolio in (b) is due to market