The expected return of the market is E(rm) = 14%, while the risk-free rate is ry = 6%. Stock ET) A 1 15% B 0.7 12% 0.5 10% D 1.2 15% E 1.4 17% F 1.5 18% 1. Which assets are correctly priced according to the CAPM? Which ones are under-priced? Which ones are over-priced? 2. Using any two correctly priced securities, can you create a portfolio that is under-priced? 3. Using all under-priced securities, what is the alpha of an equally weighted portfolio? Is it under-priced? 4. Using all over-priced securities, what is the alpha of an equally weighted portfolio? Is it over-priced? The expected return of the market is E(rm) = 14%, while the risk-free rate is ry = 6%. Stock ET) A 1 15% B 0.7 12% 0.5 10% D 1.2 15% E 1.4 17% F 1.5 18% 1. Which assets are correctly priced according to the CAPM? Which ones are under-priced? Which ones are over-priced? 2. Using any two correctly priced securities, can you create a portfolio that is under-priced? 3. Using all under-priced securities, what is the alpha of an equally weighted portfolio? Is it under-priced? 4. Using all over-priced securities, what is the alpha of an equally weighted portfolio? Is it over-priced