D (CAPM Set-up for Questions 15 to 20) Your current portfolio consists of three assets, the common stock of Citi group (c) and Kellogg Co. (k) combined with an investment in the risk free asset. You know the following about the stocks (p_11 denotes the correlation between asset i and ), o denotes the standard deviation of asset I, and m denotes the market portfolio): p.cm -0.3.p.k.m - 0.4 0.6 -0.8, o_k - 0.5 You also have the following information about the market portfolio, and the risk free asset.fi Elr_m) -0.13.10.04 am -0.2. Assume that individuals can borrow and lend at riskfree rate rf and that the Capital Asset Pricing Models (CAPM) describes expected returns on assets. You have $200,000 invested in Citigroup. $200.000 invested in Kellogg, and $100,000 invested in the riskless asset. Call this portfolio X What is the highest Sharpe ratio of a portfolio which includes the market portfolio and risk free asset? 0 0.25 O 0.35 0045 O 0.55 O None of the above