Question 1 a) The return expectations of Security I, Security II and the market portfolio are as indicated in the table above. Estimate the correlation between the return on Security I and return on Security II. (10 marks) b) If you are going to invest RM 140,000 in Security I and RM 260,000 in Security II, estimate the expected return and standard deviation of this portfolio. (5 marks) c) The betas of Security I and Security II are found to be 1.20 and 0.15 , respectively. If the Treasury bill rate is 3.0%, determine whether the portfolio in part (b) above is undervalued. Plot the portfolio on the risk(beta) and return diagram. (10 marks) (Total: 25 marks)