We suppose that a market is composed of only two risky securities A and B. We know that the "market portfolio" is composed of 40% of Security A and 60% of Security B. Security A has an expected return of 10% and a standard deviation of 20%. Security B has an expected return of 15% and a standard deviation of 28%. Furthermore, we suppose that the correlation coefficient between Security A and Security B is 0.3 and the risk-free rate 5%.
 

What is the expected return, noted E(R_M), of the market portfolio? 

What is the risk, noted s_M, of the market portfolio? 

What is the intercept of the capital market line with the vertical axis in a (s, E(R)) graph?