12. Consider the following information: Stock X Stock Z Exp. Ret. St. Dev. 8% 14% 12% 22% 3% a) b) Risk-free rate, rF Correlation = -0.2 What is the Sharpe Ratio of the Tangency Portfolio of stocks X and Z? For what risk aversion level A is a 70% investment in the Tangency portfolio optimal for an investor with mean-variance utility? 13. Suppose that your local bank has two funds available for you to choose from - one which invests equities (E) and another that invests in sovereign debt (D). Furthermore, assume that E(re) is 12% E(ra) is 2%, is E 18% and D is 10%. c) Assume the correlation between both funds is 0.30, and short-selling is not possible. Plot the possible asset allocations in an expected return - standard deviation graph. d) Assume the correlation between both funds is -0.30, and short-selling is not possible. Plot the c possible asset allocations in an expected return - standard deviation framework. Go