Question: Expected Return Standard Deviation Portfolio A 12% 20% Portfolio B 6% 12% T-bill 3% 0% You are an investment adviser and you have the three

Expected Return

Standard Deviation

Portfolio A

12%

20%

Portfolio B

6%

12%

T-bill

3%

0%

You are an investment adviser and you have the three investments above to recommend to your clients.The correlation between A and B is -0.5.

Solve for the optimal risky portfolio and enter the weights as a %, 99% should be entered as 99.00%.

Percent invested in Portfolio A

Percent invested in Portfolio B

What is the standard deviation of the optimal risky portfolio?

What is the expected return of the optimal risky portfolio?

What is the Sharpe ratio of the optimal risky portfolio?

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