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A portfolio P is composed of two assets, A with weight wA and B, with...

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A portfolio P is composed of two assets, A with weight wA and B, with weight wB. The variance of the market portfolio is M2, the covariance between the return of asset A and the market portfolio is A,M, the covariance between the return of asset B and the market portfolio is B,M. Assume the CAPM holds. a) What is the beta of asset A,A and the beta of asset B,B ? b) Show that the beta of portfolio P is: P=wAA+wBB

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