(13 marks) Assume that you currently have 50% of your wealth in a risk-free asset and 50% in the two mutual funds as shown below, which you may assume are efficiently and correctly priced: Fund Expected % of Wealth Return on Stock Beta of Fund Invested in (%) Fund A 12.6 0.90 20 B 17.1 1.40 30 Required: (be sure to show your work) (a) Using the CAPM, and assuming the market is in equilibrium, calculate the risk-free rate and the expected return on the market portfolio. (4 marks) Notwithstanding your answers in part (a), use r = 4% and Erm) = 12% for parts (b) through (d). (b) Calculate the expected return on your portfolio. (3 marks) (c) Calculate the beta of your portfolio (3 marks) MacBook (a) Using the CAPM, and assuming the market is in equilibrium, calculate the risk-free rate and the expected return on the market portfolio. (4 marks) Notwithstanding your answers in part (a), use rp = 4% and E(rm) = 12% for parts (b) through (d). (b) Calculate the expected return on your portfolio. (3 marks) (c) Calculate the beta of your portfolio. (3 marks) (d) You want to invest in only the risk-free asset and the market portfolio. You want an expected rate of return of 10%. How would you allocate your wealth between the risk-free asset and the market portfolio? (3 marks) HTML Editore BIVA -A- IE33 - EN VE OOT MacBook Air