The expected return on the market portfolio is 9%, the risk-free return is 4% and the standard deviation of the market-portfolio is 0,25. Alpha is...

The expected return on the market portfolio is 9%, the risk-free return is 4% and the standard deviation of the market-portfolio is 0,25. Alpha is the estimated extra return in relation to CAPM.

With the information given in the attached photo, how do I correctly calculate the systematic and the unsystematic risk to each of the shares (A, B and C)?

How should I proceed to set up an arbitrage portfolio with these three shares given that the weight for share A is 1/3? (on behalf of a well-diversified investor)