Question: Given two assets with the following characteristics: E(RA) = 0.09 A = 0.093 E(RB) = 0.028 B = 0.0218 A, B = -0.65052 Wa= 0.2951

Given two assets with the following characteristics: E(RA) = 0.09 A = 0.093 E(RB) = 0.028 B = 0.0218 A, B = -0.65052 Wa= 0.2951 Wb = 0.7049 Suppose there is a risk free asset available at 3%. The weights of A and B that would yield a market portfolio, M with the highest Sharpe ratio are 0.2951and 0.7049 respectively. What are the expected return, E(RM), standard deviation, M, Sharpe ratio, SRM, and utility level, UM, of this market portfolio, M? (8 marks)

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