Please all work must be done on paper, no spreadsheet software!

6. What is the expected return of the optimally risky portfolio? Round to the nearest 0.01%

7. What is the standard deviation of the optimally risky portfolio? Round to the nearest 0.01.

8. What is the optimal allocation of risk-free assets in the complete portfolio? Assume a risk aversion of 2. Round to the nearest 0.01%.

9.What is the optimal weight of the equity in the complete portfolio? Round to the nearest 0.01%.

10. What is the Sharpe ratio of the optimally risky portfolio? Round to the nearest 0.01.

Use the following information to answer Questions 1-10. Probability 0.25 0.25 0.20 0.30 Equity returns -8% 5% 14% 28% Debt returns -4% 3% 4% 6% Risk-free rate Correlation, Pd,e 0.75% 0.3690 Use the following information to answer Questions 1-10. Probability 0.25 0.25 0.20 0.30 Equity returns -8% 5% 14% 28% Debt returns -4% 3% 4% 6% Risk-free rate Correlation, Pd,e 0.75% 0.3690