The market has three risky assets. The variance-covariance matrix of the risky assets are as follows. 71 72 1'3 71 0.25 0 -0.2 T2 04 0.1 13 -0.2 0.1 1 Assume the market portfolio is M = 0.2 on +0.5 0 12 +0.3 o 73. Further assume E(TM) = 0.08. (a) What is the variance of M? (b) What is the covariance of ra and M? (c) What is B2? (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=0.40r1 +0.6org. 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. 71 72 1'3 71 0.25 0 -0.2 T2 04 0.1 13 -0.2 0.1 1 Assume the market portfolio is M = 0.2 on +0.5 0 12 +0.3 o 73. Further assume E(TM) = 0.08. (a) What is the variance of M? (b) What is the covariance of ra and M? (c) What is B2? (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=0.40r1 +0.6org. What is its "fair" expected rate of return