You have invested your savings in the VanVeck Blended ETF ('Exchange Traded Fund') that adopts a varied approach to portfolio construction by investing in multiple ETFs. The Blended ETF seeks to maintain the following ratios: 30% in the ASX200 ETF with a beta of 0.8. 30% in the Developed Market Index ETF, which is the worldwide market index. 30% in the Gold ETF with a beta of -0.2 (negative 0.2). The remaining 10% allocated to a risk-free money market ETF earning the risk-free rate of 2% per year. Note: assume the worldwide market index is the CAPM market portfolio against which the risk of all other assets is assessed. a) Given the expected market risk premium is 4% per year, what is the expected return of your Blended ETF portfolio? (4 marks) b) Given that the market portfolio has a standard deviation of 25% and the correlation coefficient of your Blended ETF portfolio and the market portfolio is 0.3, what is the standard deviation of your Blended ETF portfolio if CAPM theory holds? (2 marks)