For part G, I understand that all portfolios lie on the same CAPM line.  But then I'm not sure what to do next.  I tried using the respective betas and expected returns to find the risk-free rate and market risk premium, which is what NEAS said to do.  But after that, how can you find the expected return of the 3rd stock?  What beta do you use for that one?  And after you find it, what does that tell you?

[NEAS: Any two of the three stocks gives a CAPM line, which gives the required return for the third stocks (based on its beta).  See if that return is higher or lower than its actual return.]