Question: Security A has expected return of 12% and standard deviation of 30%. Security B has expected return of 10% and standard deviation of 20%. The

Security A has expected return of 12% and standard deviation of 30%. Security B has expected return of 10% and standard deviation of 20%. The return of Security A and security B are uncorrelated.And investor can only invest in those two securities and in the risk free bond, which offer returns of 5%.. What are the weights of Securities A and B in the optimal risky portfolio. Show calculations for correlation, covariance and also your calculations how you found both W-a and W-b and the Sharpe ratio for the correct weights.

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