Taylor Smith is a portfolio manager and has the information on the investments in the table below. A, B, and C are individual risky securities. F is the risk-free asset. M is the market portfolio. All returns are annual returns. Standard Deviation Covariance Matrix Investment Expected Return B A 0.0900 F 0 0.0907 . B 20% 25% 0.0567 0.0450 M 0.0210 0.0266 0.1369 0 0.0484 30% 37% 22% 0% 12% C F 0.0130 13% 4% 18% 0 0 0 M 0.0144 a. [1 mark] Using the covariance matrix, what is the correlation of Asset A with the market portfolio? b.[1 mark] Using the covariance matrix, what is the beta of Asset C? c. [3 marks] How will you divide your money between Asset A and Asset B if your aim is to achieve a portfolio with an expected return of 18% p.a.? What is the standard deviation of this portfolio? d. [3 marks] How will you divide your money between the risk-free asset and the market portfolio if you are willing to bear a standard deviation of 15% p.a. for your portfolio? What is the expected return of this portfolio? e. [2 marks] Does any of the portfolios in parts (c) and (d) dominate the other in terms of risk and return? Clearly explain your