Consider d=4 assets whose returns Rj are modelled with Sharp's single-index model with zero interest rates, with Rj = +*RM +j, where

RM is the market portfolio return, 

 = 0.1 is the i's stock's alpha, or abnormal return, 

=0.3 is the i's stocks's beta, or responsiveness to the market return, and

j are independent and normally distributed with mean zero 

and standard deviation =0.3, also independent of RM. 

We furthermore assume that the expected return of the market portfolio is 

M=0.4 and with standard deviation M=0.2. 

Note that we do not assume any further knowledge on the distribution of RM.

Consider now a portfolio with equal portions invested in each of the for risky assets 1,2,3,4. What is the expected return of this portfolio?

Please insert your result with two decimal places.

So for instance if your result is 0.0123 then state 0.01.

Consider again the portfolio with equal portions invested in each of the for risky assets 1,2,3,4. What is the variance of the returns of this portfolio?

Please insert your result with four decimal places.

So for instance if your result is 0.01234 then state 0.0123.