Sharpe Ratio. Security A has expected excess return E[RA rf ] = 10% and volatility

sigma(A) = 20% and security B has E[RB rf ] = 5% and sigma(B) = 20% . The correlation

between the two securities is -0.5. Find Sharpe ratio for each of the below.

(a) Security A .

(b) Security B .

(c) A portfolio consisting of 60% A and 40% B .

(d) Security B levered four times, i.e. 400% B financed by borrowing 300% at the risk

free rate.

(e) Security A levered twice, i.e. 200% A financed by borrowing 100% at the risk free

rate.