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%