(b) Based on your answer to (a), what are the annual expected return, standard deviation, and Sharpe ratio of a classic 60/40 portfolio? For the annual risk- free rate please use 4.55%, which corresponds to the annualised 3-month T-Bill return for the same period. k Obonds (c) Now consider setting up a "Risk Parity" (RP) portfolio of equities and bonds where the weight on each asset class is inversely proportional to its volatility (standard deviation). To do so, set Wequity and Wbonds = You will need to find the same constant of proportionality k such that, as usual, the two weights sum to one (i.e, Wequity + Wbonds = 1) k equity What are the weights on equities and bonds in the RP portfolio? How does this compare to 60/40? Please explain. (d) What are the expected return, standard deviation, and Sharpe ratio of the RP portfolio? How does this compare to 60/40? (e) How would you use riskless borrowing or lending combined with the RP portfolio to get the same standard deviation as the 60/40 portfolio? What is the expected return and Sharpe ratio of this position? (f) What are the weights on equities and bonds in the global minimum variance portfolio? What are the expected return, standard deviation, and Sharpe ratio of this portfolio? Comment.