Suppose we have the following information on stocks , , and
Assume that the CAPM holds and that the market portfolio consists of the above three stocks weighted equally. Find the expected return of Stock Z.
Attempt: We can first get
by using the formula for the variance of a three-asset portfolio. Then, from there, we can solve for the for each stock using . However, I'm not sure how to compute for the correlation between the stock return and the market return.