Bb Ans | Rer | Rer Bb Lea Bb X G CO Bb 107 Bb 107 Bb 10 Bb 10: Bb 107 Bb 107 G The . Pas 0 Ma G for Mic G for * Col * Ho + X learn-eu-central-1-prod-fleet01-xythos.content.blackboardcdn.com/5bfedefc36910/11671235?X-Blackboard-Expiration=1656860400000... Q E *|S ( Go # 0 B : G Google Trader & GNBO 1 eBay Free Hotmail HIKVISION HILOOK.. > Internet Explorer 9 @! Yahoo! Mail Imported From IE Imported From IE (1) & DOCSTOK PROD.. > Other bookmarks Employment application (2-pp.) 5 / 5 106% + 10. The expected return on the market portfolio is E(RM)=20% and its standard deviation is OM = 5%. The return on the risk-free asset is RF=2%. a. Based on the CAPM, calculate the required expected return on assets A and B, with corresponding betas: BA= -0.06 and BB= 1.2. [15 marks] b. Suppose that asset C has a required rate of return of Rc=17%. What must be the beta of this asset (Bc) so that its required rate of return is consistent with the CAPM theory? [15 marks] c. Suppose that there is no risk-free asset, but you have found a portfolio P, with weights on the assets of the whole market Xp such that: (i) E(RP)=4% and, (ii) X'PEXM=0. Find the required rate of return for assets A, B and C, assuming that their betas are the same as the ones you computed above. [30 marks] END OF PAPER o e up W o N A X P P 16:28 03/07/2022