T1 Tm 7. You are given the following information: The covariance matrix of the rate of return on stock 1, stock 2, and the market portfolio is: T2 0.160 0.020 0.064 0.020 0.090 0.032 Tm 0.064 0.032 4. r = 0.12 and r,= 0.04. 0.040 Consider forming a portfolio p that has 75% invested in asset 1 and 25% invested in asset 2. a. What is the variance of portfolio p? b. What are the betas of 1, 2, and p relative to the market, Bim, B2m, and Bpm, respectively? c. What are the R values in regressions of the return on 1, 2, and p on the market portfolio? (Here you can define R' = systematic risk / total risk) d. According to CAPM, what are the expected returns on asset 1, asset 2, and portfolio p