Problem 1-CAPM For this question, we are using the assumptions from what we have introduced in Lecture 4. Suppose you currently hold the market portfolio. You would like to invest a small additional fraction a of your wealth in the market portfolio. If you are assumed to borrow at rate of rb: a) Find the expected return and variance of your portfolio after the change. b) Compare the newly derived return and variance with the ones of market portfolio, indicate the changes. c) What is the marginal price of risk (defined as the ratio of incremental risk premium and incremental risk)? Now, suppose you would like to invest a small additional fraction a of your wealth in some financial security i instead of the market portfolio. It is still the case that you are borrowing at the rate ro. d) Find the expected return and variance of your portfolio after the change