Question: (b) Calculate the portfolio weights, expected return and standard deviation of the optimal risky portfolio comprising the two securities A and B outlined in

(b) Calculate the portfolio weights, expected return and standard deviation of the

(b) Calculate the portfolio weights, expected return and standard deviation of the optimal risky portfolio comprising the two securities A and B outlined in part (a) of this question, where it is assumed that a risk-free rate of 3% prevails. From this, calculate the Sharpe ratio of the optimal risky portfolio. (10 marks)

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