Here is the probability distribution for asset A, B, and the market

StateProbabilityReturn, Asset AReturn, Asset BMarket Return10.410%0%5%20.65%20%15%Expected Market Return11%Variance of Market Return0.0054

a. Find the expected return for asset A.

[ Select ]

["

10.0%

", "

7.0%

", "

8.0%

", "

7.5%

"]

b. Find the expected return for asset B.

[ Select ]

["

10.0%

", "

8.0%

", "

12.0%

", "

20.0%

"]

c. Find the variance of returns for asset A.

[ Select ]

["

0.0008

", "

0.0006

", "

0.0084

", "

0.0072

"]

d. Find the variance of returns for asset B.

[ Select ]

["

0.0012

", "

0.0096

", "

0.0008

", "

0.0082

"]

e. Find the beta with respect of market for asset A

[ Select ]

["

0.5

", "

-0.5

", "

1.2

", "

1

"] .

f. Find the beta with respect of market for asset B

[ Select ]

["

1.0

", "

0.5

", "

2.0

", "

1.2

"] .

g.Suppose you use CAPM in calculating the required rates of return on your investment. You can assume that the risk-free rate is 6%. What is the required expected rate of return on asset A?

[ Select ]

["

3.5%

", "

6.0%

", "

8.5%

", "

9.0%

"]

h.Suppose you use CAPM in calculating the required rates of return on your investment. You can assume that the risk-free rate is 6%. What is the required expected rate of return on asset B?

[ Select ]

["

16.0%

", "

8.0%

", "

3.0%

", "

12.5%

"]

i. Given what you know about assets expected returns and risk, which asset represents the best investment for investors (A or B)? Is investment in asset A and asset B a positive NPV? Choose the most precise statement below.

[ Select ]

["

Both investment A and B are negative NPV. Don't Invest.

", "

For asset A, the expected return is below its required return. For asset B, the expected return exceeds the required return, hence it is not a good investment. Invest in B.

", "

For asset A, the expected return exceeds its required return. For asset B, the expected return is below the required return, hence it is not a good investment. Invest in A.

", "

Both investment A and B are positive NPV, but B is better investment.

", "

Both investment A and B are positive NPV, but A is better investment.

"]

j.Suppose you have a short position of $1000 in asset A and a long position of $6000 in

asset B. Find the weights your portfolio

[ Select ]

["

-0.2 in A and 1.2 in B

", "

-0.167 in A and 1.167 in B

", "

0.2 in A and 0.8 in B

"] .

k. Suppose you have a short position of $1000 in asset A and a long position of $6000 in

asset B.Find the expected return of your portfolio

[ Select ]

["

10.8%

", "

13.0%

", "

11.0%

", "

14.4%

"]

l. Suppose you have a short position of $1000 in asset A and a long position of $6000 in

asset B.Find beta with respect to the market of your portfolio

[ Select ]

["

1.0

", "

2.5

", "

1.4

", "

1.8

"]

m. Suppose you have a short position of $1000 in asset A and a long position of $6000 in

asset B. According to CAPM, is your portfolio a good investment?

[ Select ]

["

Yes, invest in this portfolio

", "

No, don't invest in this portfolio

"]

n. Suppose you have a short position of $1000 in asset A and a long position of $6000 in

asset B. Suppose the covariance of returns on assets A and B Cov(A,B)=-0.0024. Find the variance of your portfolio.