Question: Clear solutions please Problem 2: Portfolio Optimization (20 points) Rick is a u-o-investor and lives in a world with only three assets A, B, and

Clear solutions please

Problem 2: Portfolio Optimization (20 points) Rick is a u-o-investor and lives in a world with only three assets A, B, and C. He has gathered some data to help him optimize his portfolio: expected returns (jj), standard deviations (of). Sharpe Ratios (SR.), covariances (o A), and correlation coefficients (PLA). Unfortunately, some of the data was lost due to carelessness when creating a backup. Rick still remembers that one of the three assets is the risk-free asset and that none of the assets is u-o-dominated by another. 2 SRI ONB PLB Asset A 0.01 12 13 4 Asset B 0.05 0.4 (6 5 Asset C 0.16 0 3 0.5 a) Which asset has to be the risk-free asset? Why is it impossible to compute number 1, which is the Sharpe ratio of asset A? (5 points) b) Determine the missing figures in the table (numbered (@). @), etc.) (15 points)

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