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Business, 19.08.2020 02:01 garciagang0630

The return statistics for two stocks and the risk-free asset, Treasury bills, are given below:. Α B C D
1 Stock A Stock B T- bills
2 Expected return 0.09 0.065 0.02
3 Variance 0.09 0.0729
4 Standard deviation 0.3 0.27
5 Covariance 0.0243
Part 1. What is the Sharpe ratio of the optimal risky portfolio?
Part 2. What is the standard deviation of a portfolio composed of 40% optimal risky portfolio and 60% risk-free asset?

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