Problem 9 Intro The return statistics for two stocks and T-bills are given below: A B D 1 Stock A Stock B T-bills 0.094 0.073 0.02 0.1225 0.0729 2 Expected return 3 Variance 4 Standard deviation 5 Covariance 0.35 0.27 0.02835 Attempt 4/10 for 10 pts. Part 1 What is the Sharpe ratio of a portfolio with 60% invested in stock A and the rest in stock B? 0.249 Correct A B D 1 Stock A Stock BT-bills 2 Expected return 0.094 0.073 0.02 3 Variance 0.1225 0.0729 4 Standard deviation 0.35 0.27 5 Covariance 0.02835 6 B 1 Stock A Stock B T-bills 2 Expected return 0.094 0.073 0.02 3 Variance 0.1225 0.0729 4 Standard deviation 0.35 0.27 5 Covariance 0.02835 6 7 Portfolio 8 0.6 0.4 =1-B8 Weights Expected return 9 0.0856 =B8*B2+C8*C2 10 Variance 0.0694 =B8^2+B3+C812"C3+2*B8*C8*B5 11 Standard deviation 0.2634 =B10^0.5 12 Sharpe ratio 0.2491 =(B9-D2)/B11 Attempt 1/10 for 10 pts. Part 2 What is the Sharpe ratio of the optimal risky portfolio? 3+ decimals Submit