Assume that the correlation coefficient between returns on X and Y is 0.2. Which risky asset or portfolio is best to use in combination with the risk-free asset, to create a total portfolio for the investor? E(r) Standard Deviation 4% Risk-free Asset Asset X 10% 20% Asset Y 6% 30% Asset Y by itself Asset X by itself A 60% in Asset X, 40% in Asset Y portfolio Assume that the correlation coefficient between returns on X and Y is 0.2. If the correlation coefficient was -0.5 instead of 0.2, then the Sharpe ratio of the 60% Asset X, 40% Asset Y portfolio E(r) Standard Deviation 4% Risk-free Asset Asset X 10% 20% Asset Y 6% 30% Would go up Would go down