Suppose there are three risky assets with the following betas and Var$(lo{n}_j)={}_{lo{n}_j}^2.$ Suppose

also that the variance of $R_M-r_0$ is $0\mathrm{.}014.$

$($a$)$ What is the beta of an equally weighted portfolio of these three assets?

$($b$)$ Assume that the $lo{n}_j\text{'}$s are uncorrelated. What is the variance of the excess return on the

equally weighted portfolio $P,$ i$.$e$.$ Var$(R_P-r_0)?$

$($c$)$ What proportion of the total risk of asset $1$ is due to market $($systematic$)$ risk?