investment science, please don't copy answer from other post, many thanks.

[L] Chapter 7: Exercise 11 (Risk analysis) Assume that the market portfolio has expected rate of return PM = 0.12 and standard deviation om = 0.3. The risk-free rate is rf TM 0.02. Answer the following questions under the CAPM framework for three assets A, B, C in this market. (a) Asset A has o A = 0.6 and its return correlation with the market portfolio PAM = 0.1. Find FA and Ba. (b) Asset B has the same expected return as A but with ob = 0.8. What is the idiosyncratic risk of B? (c) Asset C has PCM = 0.8. What percentage of its return variance is idiosyn- cratic risk? =