Question 2 [25 marks] When answering each question, state any additional assumptions you may need to make. Show all working/calculations.

(b) Asset Expected Return Standard Deviation A 0.06 0.08 B 0.08 0.06 0.08 0.12 D 0.05 0 E 0.09 F 0.10 0.15 0.10 Consider a stock market that consists of Stock 1 and Stock 2 only. The table above shows the expected return and standard deviation for six assets. Asset A is the minimum vari- ance portfolio formed from Stocks 1 and 2. Asset D is the risk-free asset. The remaining assets are portfolios that consist of the risk-free asset and Stocks 1 and 2 in varying quan- tities. Assume the CAPM holds and one of the assets in the table is the market portfolio. Explain which asset is the market portfolio