Question: Problem 30 Intro The return statistics for two stocks and T-bills are given below: A B C D 1 Stock A Stock B T-bills 2

Problem 30

Intro

The return statistics for two stocks and T-bills are given below:

A B C D
1 Stock A Stock B T-bills
2 Expected return 0.094 0.067 0.02
3 Variance 0.1444 0.0729
4 Standard deviation 0.38 0.27
5 Covariance 0.03078

Attempt 1/10 for 10 pts.

Part 1

What is the Sharpe ratio of a portfolio with 70% invested in stock A and the rest in stock B?

Attempt 1/10 for 10 pts.

Part 2

What is the Sharpe ratio of the optimal risky portfolio?

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