The (annual) expected return and standard deviation of returns for 2 assets are as follows:

Asset A : E[r] 10% , SD[r] 30%

Asset B : E[r] 20% , SD[r] 50%

The correlation between the returns is 0.15

a. Calculate the expected returns and standard deviations of the following portfolios:

i) 80% in A, 20% in B : 12%/27.35%

ii) 50% in A, 50% in B : 15% /30.02%
iii) 20% in A, 80% in B : 18%/41.33%
b. Find the weights for a portfolio with an expected return of 25%? What is the standard deviation of this portfolio?
Wa = -50%
Wb = 1.50%
74.25

In addition to the information in Q1, assume that the (annual) risk-free (T-bill) rate is 4%.

a. Calculate the expected returns and standard deviations of the following portfolios:

i) 75% in the risk-free asset, 25% in B

ii) 25% in the risk-free asset, 75% in B

iii) 50% in the risk-free asset, 50% in the portfolio in Q1 a(ii)

b. Calculate the Sharpe ratios of

(i) asset A

Iii) Asset B

III) the portfolio in Q.1a(i)

iv) the portfolio in Q, 1a(ii)

v) the portfolio in Q.1a(iii)