Question: SD B = 0.25 SD C = 0.15 Expected Return B = 19% Expected Return A = 10% Risk Free rate = 4% Now assume

SD B = 0.25

SD C = 0.15

Expected Return B = 19%

Expected Return A = 10%

Risk Free rate = 4%

Now assume that the correlation between portfolios B and C is 0. Find the combination of B and C that is mean-variance efficient. That is find the "MVE" portfolio that combines these two portfolios. Calculate and report the portfolio weights in the MVE portfolio. Also calculate the expected return and standard deviation of the MVE portfolio. What is the Sharpe ratio of the MVE portfolio? How does this compare to the Sharpe ratio for portfolios B and C?

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