QUESTION 5 (20 marks) a. You are considering a security with the following possible rates of return; Probability Return (%) 0.20 9.6 0.30 12.0 0.30 14.4 0.20 16.8 REQUIRED: Calculate the expected rate of return [4 marks) (1) Calculate the standard deviation of the returns. (4 marks) b. Berjaya Corp. has a very conservative beta of 7, while Biotech Corp. has a beta of 2.1. The T-bill rate is 5%, and the market is expected to return 15% 0 What is the expected return of Berjaya Corp. Biotech Corp., and a portfolio composed of 60% of Berjaya Corp. and 40% Biotech Corp.? [6 marks) (1) Why is Biotech Corp's expected return not three times that of Berjaya Corp.? [3 marks) (1) Discuss whether the standard deviation of a portfolio is, or is not, a weighted average of the standard deviations of the assets in the portfolio. Fully explain your answer. [3 marks)