If the capm holds for both stocks please find the expected

Question

Question: You observe the following information in a market where the CAPM holds:

                   β_levered             Expected annual return                       Annual standard deviation

Stock A           1.8                               16.8%                                                  45%

Stock B           1.2                               13.2%                                                  30%

The correlation between stock A and the market is 80%.

a) If the CAPM holds for both stocks, please find the expected annual market return and the risk-free rate.

b) Consider a portfolio that is split (unevenly) between the risk-free asset and the market. If the annual standard deviation of this portfolio is 16%, what is the expected annual return on this portfolio?