Suppose you group all the stocks in the world into mutually exclusive portfolios (each stock is in only one portfolio) growth stocks and value stocks. Suppose the two portfolios have equal size (in terms of total value), a correlation of 0.5, and the following characteristics: The risk free-rate is 2% a. What is the expected return and volatility of the market portfolio (which is a 5050 combination of the two portfolios)? b. Calculate the Sharpe ratios of the value stock, growth stock, and market portfolio. Data table c. Does the CAPM hold in this economy? (Hint: Is the market portfolio efficient?) a. What is the expected return and volatility of the market portfolio (which is a 5050 combination of the two portfolios)? The expected return of the market portfolio is %. (Round to one decimal place.) (Click on the icon located on the top-right comer of the data table below in order to copy its contents into a spreadsheet.) Expected Return Volatility Value Stocks 15% 11% Growth Stocks 17% 24%