The market has three risky assets. The variance-covariance matrix of the risky assets are as follows. Assume the market portfolio is M=0.2r1+0.5r2+0.3r3. Further assume E(rM)=0.08 (a) What is the variance of M ? (b) What is the covariance of r2 and M ? (c) What is 2 ? (d) If the rate of return of the risk-free asset is 0.02. Then what is the fair expected rate of return of security 2 ? (e) An investor wants to invest in a portfolio P=0.4r1+0.6r3. What is its "fair" expected rate of return? The market has three risky assets. The variance-covariance matrix of the risky assets are as follows. Assume the market portfolio is M=0.2r1+0.5r2+0.3r3. Further assume E(rM)=0.08 (a) What is the variance of M ? (b) What is the covariance of r2 and M ? (c) What is 2 ? (d) If the rate of return of the risk-free asset is 0.02. Then what is the fair expected rate of return of security 2 ? (e) An investor wants to invest in a portfolio P=0.4r1+0.6r3. What is its "fair" expected rate of return