The risk-free rate is 4%. There are two portfolios A and B with following information: Portfolio Beta E(RI) o(ei) A .9 11% 16% B B 1.8 15% 19% (a) Suppose that the standard deviation is om = 20% on market portfolio. Compute the variance on each portfolio. (b) Suppose portfolio A and B are well-diversified portfolios, compute their variance and excess return, given om = 20% and E(RM) = 20% on market portfolio