Consider a CAPM economy that contains three risky assets with the information set out in the...

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Consider a CAPM economy that contains three risky assets with the information set out in the table below. Asset Expected return Standard deviation A B с Risk-free A B с 10% The correlation matrix is as follows: A 0.3 0.2 12% 14% 5% B 0.4 C с 20% 25% 30% 0% What is the Market Risk Premium in this economy? Answer in percent to one decimal place. If your answer is 8.43%, insert 8.4. What is the standard deviation of the market portfolio? Answer in percent to one decimal place. If your answer is 15.79%, insert 15.8. What is the beta of Asset B? Answer to two decimal places. If your answer is 0.874, insert 0.87. Consider an investor who currently owns only Asset B because that investor is targeting a 12% return. What proportion of the standard deviation that the investor is currently bearing would be eliminated if the investor were to target that same 12% return in the optimal way? Answer to the nearest whole percent. If your answer is 74.9%, insert 75. Consider a CAPM economy that contains three risky assets with the information set out in the table below. Asset Expected return Standard deviation A B с Risk-free A B с 10% The correlation matrix is as follows: A 0.3 0.2 12% 14% 5% B 0.4 C с 20% 25% 30% 0% What is the Market Risk Premium in this economy? Answer in percent to one decimal place. If your answer is 8.43%, insert 8.4. What is the standard deviation of the market portfolio? Answer in percent to one decimal place. If your answer is 15.79%, insert 15.8. What is the beta of Asset B? Answer to two decimal places. If your answer is 0.874, insert 0.87. Consider an investor who currently owns only Asset B because that investor is targeting a 12% return. What proportion of the standard deviation that the investor is currently bearing would be eliminated if the investor were to target that same 12% return in the optimal way? Answer to the nearest whole percent. If your answer is 74.9%, insert 75.