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Calculate the volatilities

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In this problem, I have the expected return of the market, its volatility and the risk-free rate of return for both borrowing and lending. There exists also two risky assets in the market (A and B) and I have the characteristic line regression which shows the relation between the returns for these two assets and the market portfolio.

I also have the coefficient of determination for both A and B, the error terms are uncorrelated. I have the betas of the two risky assets and the alpha for these two assets too.

How can I calculate the volatilities for the these two assets?

(The problem is in the attached file).

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This solution calculates the volatilities.

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We know the formula Beta = Coefficient of correlation between risky stock and market (rho-AM) * Standard deviation of stock A / Standard ...

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