1.Currently, the risk-free return is 8%, and the data on the market portfolio M and A assets are as follows.

Market expected return: 16%

Expected return on A: 24%

Market volatility: 12%

Volatility of A: 24%

Correlation coefficient between A and M: 1

What is the magnitude of the unsystematic risk among the risks of A?

Hint:

1) The magnitude of the risk is calculated as the standard deviation of Ri.

2) Ri is exposed to the market premium as much as beta, which determines some sizes (beta * market risk premium) and the rest (Ri-beta * market risk premium) based on non-systematic risk.

3) If you find the variability of the non-systematic part of the two parts, that would be the unsystematic risk.

* var(aX) = (a^2) VarX

* Systematic and non-systematic risks are independent of each other.

Mark the risk in % and up to the second decimal place.

2.The following A and B risk assets exist in the market (assume no other risk assets exist):

There is a risk-free asset, and the return on that asset is 5%.

Stock	market value	E(R)	breakup	A,B Covariance
A	110million won	37%	0.25	0.018
B	90million won	23%	0.16	0.018

What if we get the expected return on the market portfolio?

Mark up to the first decimal place in % units.

3.The following A and B risk assets exist in the market (assume no other risk assets exist):

There is a risk-free asset, and the return on that asset is 5%.

The following A and B risk assets exist in the market (assume no other risk assets exist):

There is a risk-free asset, and the return on that asset is 5%.

Stock	market value	E(R)	breakup	A,B Covariance
A	110million won	37%	0.25	0.018
B	90million won	23%	0.16	0.018

Suppose that the expected return on an efficient portfolio of risk-free assets + risk asset portfolios is 37%. What if we get the standard deviation?

Mark up to the first decimal place in % units.

Please write down the steps for each topic. Thank you very much.