I have been given the expected returns and standard deviations of 2 stocks A and B, as well as the standard deviation of the market portfolio and correlation between security A and the market portfolio. I am asked to determine the idiosyncratic risks of both A & B as well as the value of Beta for B given it is positive.
I am finding it difficult to calculate the idiosyncratic risk of B without its covariance, correlation, or the risk-free rate or expected return of the market.