1. Suppose the risk premium on the market portfolio is 4% with a standard deviation of 20%. What is the risk premium on a portfolio invested 40% in GM and 60% in Ford, if they have betas of 1.4 and 1.0 respectively?
2. Which of the following portfolios cannot lie on the efficient frontier (pick one):
Portfolio A: Expected return =11%, Standard deviation =10%
Portfolio B: Expected return =5%, Standard deviation =6%
Portfolio C: Expected return =13%, Standard deviation =12%
Portfolio D: Expected return =12%, Standard deviation =15%
Portfolio E: Expected return =14%, Standard deviation =13%
Portfolio F: Expected return =3%, Standard deviation =5%