Intro The return statistics for two stocks and T-bills are given below: A B D Stock A Stock B T-bills 0.094 0.06 0.02 2 Expected return 3 Variance 4 Standard deviation 0.1296 0.0729 0.36 0.27 5 Covariance 0.02916 Part 1 Attempt 1/10 for 9.8 pts. What is the Sharpe ratio of a portfolio with 80% invested in stock A and the rest in stock B? 0.2259 B C D 1 Stock A Stock BT-bills 0.094 0.06 0.02 2 Expected return 3 Variance 0.1296 0.0729 4 Standard deviation 0.36 0.27 5 Covariance 0.02916 6 7 Portfolio 0.8 0.2=1-B8 8 Weights 9 Expected return 10 Variance 0.0872 =B8*B2+C8*C2 0.0952 =B8^2*B3+C8^2*C3+2*B8*C8*B5 11 Standard deviation 0.3085 =B1010.5 12 Sharpe ratio 0.2178 =(B9-D2)/B11 Part 2 | Attempt 6/10 for 7.8 pts. What is the Sharpe ratio of the optimal risky portfolio? 0.0124 Try again Try again See solution (-2 pts.)