Question: There are three assets, A, B and C, where A is the market portfolio and C is the risk-free asset. The return on the market

There are three assets, A, B and C, where A is the market portfolio and C is the risk-free asset. The return on the market has a mean of 12% and a standard deviation of 20%. The risk- free asset yields a return of 4%. Asset B is a risky asset whose return has a standard deviation of 40% and a market beta of 1. Assume that the CAPM holds. Portfolio weight w 01/21 Expected return Standard deviation (a) Compute the expected return of asset B and its covariances with asset A (the market portfolio) and asset C (the risk-free asset), respectively

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