5. Consider n risky assets with expected returns 1, 72, ..., in. Let = (1,72, ..., in)' be the column vector of expected returns, rf be the risk-free rate, e be an n x 1 vector of ones, b = rfe be the vector of expected excess returns, and V denote the variance- covariance matrix. For any portfolio Tip, let qp = b'mp denote the expected excess return of portfolio Tp, let on=V Tp denote the variance of the return of portfolio Tp, and let Sp = o. Finally, for any two portfolios Tp and 7 s, let Ops = 7yV11g denote the covariance between the returns of these portfolios. Let V-16 TTb = e'V-10 For any portfolio Tp, let Bp = one. This is the beta of portfolio Tp relative to portfolio Tb. Show that Sp 5 Sb. [15 marks] 5. Consider n risky assets with expected returns 1, 72, ..., in. Let = (1,72, ..., in)' be the column vector of expected returns, rf be the risk-free rate, e be an n x 1 vector of ones, b = rfe be the vector of expected excess returns, and V denote the variance- covariance matrix. For any portfolio Tip, let qp = b'mp denote the expected excess return of portfolio Tp, let on=V Tp denote the variance of the return of portfolio Tp, and let Sp = o. Finally, for any two portfolios Tp and 7 s, let Ops = 7yV11g denote the covariance between the returns of these portfolios. Let V-16 TTb = e'V-10 For any portfolio Tp, let Bp = one. This is the beta of portfolio Tp relative to portfolio Tb. Show that Sp 5 Sb. [15 marks]