1) (20 points) Consider a fully diversified portfolio and assign an expected return on this portfolio, depending on your own choice. (The use of the same input data will be treated as a cheat attempt and will be penalized severely). a) Find the beta of this fully-diversified portfolio according to CAPM, if the rate of return on risk-free asset is 4% and you expect the rate of return on the market index to be 14%. b) If the standard deviation of the return on the fully-diversified portfolio is 60%, calculate the standard deviation of the return on the market index. 1) (20 points) Consider a fully diversified portfolio and assign an expected return on this portfolio, depending on your own choice. (The use of the same input data will be treated as a cheat attempt and will be penalized severely). a) Find the beta of this fully-diversified portfolio according to CAPM, if the rate of return on risk-free asset is 4% and you expect the rate of return on the market index to be 14%. b) If the standard deviation of the return on the fully-diversified portfolio is 60%, calculate the standard deviation of the return on the market index