Question 32 (15 points) Suppose your investment advisor give you the following information: 2 Osi Assets X 02 10% 30.25% 7.75% 10% Bi 0.6 1.8 In addition, the market has expected return of 15%, and the risk-free rate is 5% 1) The advisor tells you that the current price of X implies an expected return of 13% and the current price of A implies an expected return of 17%. According to the CAPM what position (long or short) should you take in each of the two securities? Why? (6 marks) 2) According to the CAPM, what is the expected return of an equally-weighted portfolio consisting of the two stocks? What is the systematic risk portion of the portfolio variance? (9 marks)