Consider a mean-variance portfolio framework. The market portfolio, M, has an expected return of 8% and standard deviation of 20%. The risk-free rate is 2%. (1) An investor has a mean-variance utility function Up=E(rp)2p2. Calculate the standard deviation of the optimal complete portfolio for this investor. (8 marks, (2) Consider an individual security i. Its return has a correlation of 0.8 with the market portfolio. i=30%. Calculate the beta of security i. (7 marks) (3) The forecasted return of security i by the investor is 9%. Is this security under-, fairly-, or over-priced according to CAPM? Explain your argument. (8 marks) Consider a mean-variance portfolio framework. The market portfolio, M, has an expected return of 8% and standard deviation of 20%. The risk-free rate is 2%. (1) An investor has a mean-variance utility function Up=E(rp)2p2. Calculate the standard deviation of the optimal complete portfolio for this investor. (8 marks, (2) Consider an individual security i. Its return has a correlation of 0.8 with the market portfolio. i=30%. Calculate the beta of security i. (7 marks) (3) The forecasted return of security i by the investor is 9%. Is this security under-, fairly-, or over-priced according to CAPM? Explain your argument. (8 marks)