Recall the CAPM predicts that E(R)-R-B[E(Rm)-Rr]. It can be shown that the SDF in the CAPM is just a linear function of the market return Rm: M=a+bRm, where a and b are determined by risk free rate Rr, the expected return of the market E(Rm), and variance of the marker return Var(Rm). Suppose E(Rm)=10%, Var (Rm)=0.05, and R-2%, what is the value of b? Pls round your answer to 3 decimal places, e.g., 0.123. Hint: The fundamental asset pricing equation holds for any asset including the market portfolio. You can derive the expressions for a and b by applying the fundamental asset pricing equation to the market portfolio; that is, E[M(1+Rm)]=1. Question 18 Continue with the above, calculate the value of a. Pls round your answer to 3 decimal places, e.g., 0.123. AutoSave Off SECURITY WARNING Automatic update of lin 116 B C D T Price Quantity Dollar Investment V 2 100 -200 -$20,000.00 3 200 150 $30,000.00 456 10000 6 7 8 9 10 11 12 13 14 15 2 pts 16 17 18 19 20 21 22 23 24 25 26 T3Q1 PW Vol Ready