Your current portfolio consists of three assets, the common stock of IBM and GM combined with an investment in the risk-free asset. You know the following about the stocks: P IBM, M = 0.50; PGM, M = 0.80 o IBM = 0.16; 62 where pij denotes the return correlation between asset i and asset j, o?i = denotes the return variance of asset i, and M denotes the market portfolio. GM = 0.09 You also know that the expected return on the market portfolio M is 0.14 and its return variance is 0.04. The risk-free rate is 0.04. Suppose that investors can borrow and lend at the risk-free rate and that the CAPM correctly describes expected returns on assets. You have $200,000 invested in IBM, $200,000 invested in GM, and $100,000 invested in the risk-free asset. a). Calculate the expected rates of return on IBM stock and GM stock. (2 marks) b). Calculate the beta of your portfolio. (1 mark) c). Assume that the return correlation between IBM and GM is 0.40. Calculate the return standard deviation of your portfolio. (2 marks) d). After reviewing your risk preference and the risk-return profile of your portfolio in part c), your investment analyst made a surprising comment that "irrespective of your risk preference, your current portfolio is NOT the optimal investor portfolio. Assume that you can also invest in the market portfolio and make riskless lending and borrowing. Explain whether you agree or disagree on the analyst's comment, and why? (Your answer should be no longer than 150 words)