Expected Return % per month Risk % Covariance with marketAsset 1 2.03 2 1.12Asse

Expected Return % per month Risk % Covariance with marketAsset 1 2.03 2 1.12Asset 2 1.79 1 0.90Asset 3 1.49 1 0.62Market Portfolio 0.92a) Consider the market portfolio comprised of 4% invested in Asset 1 76% invested in Asset 2 and 20% invested in Asset 3. What is the expected return of this portfolio?b) What are the betas of the three risky assets?c) Suppose the riskless rate of interest is 0.8% (8/10ths of one percent per month). Are these three securities priced correctly?d) What is the beta of the market portfolio calculated as a weighted average of the betas of its components?