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5. (13 marks) You have information on several possible investments as laid out in the table below. A, B, and C are individual risky securities. For now, assume these are the only these 3 risky investments that comprise the market. F is the risk-free asset. M is the market portfolio. All returns are annual returns. Correlation Matrix Investment E(r) 19.20% 36% 11.0000 0.7000 0.6000 0.0000 0.5 21.90% 35% 12.00% 25% 3.0096 096 12.00% 10% 1.0000 0.5000 0.0000 0.6 1.0000 0.0000 0.4 1.0000 0.0 1.0 Answer the following questions with respect to this investment information Using the correlation matrix, compute the covariance of asset A with the market. (1 mark) a. b. Using the correlation matrix, compute the beta of asset C. (1 mark) What is the expected excess return of B according to the Capital Asset Pricing Model (CAPM)? Is security B priced correctly, undervalued or overvalued? (2mark) c. d. Suppose the risk free rate is 5%, how much of security F is included in the market portfolio M? Briefly explain. (1 mark) e. Suppose the market capitalization of asset B is $10M and the total market capitalization if $1,000M. If you invest $1M in the market portfolio, how many dollars are you investing in asset B? (1 mark)