1.Suppose that you wish to invest in two stocks: Stock 1 and Stock 2. If stock 1's return r₁follows a normal distribution N(10%, (20%)²) and stock 2's return r₂follows a normal distribution N(8%, (15%)²).If the correlation coefficient between the two returns is .6.You form a portfolio (with return r_p) by putting 60% of your money into stock 1 while the rest on stock 2. If the risk-free rate r_fis 4%, then your portfolio's Sharpe Ratio ([E(r_p) - r_f]/_p, where_pis the standard deviation of your portfolio) is ________.

a. .08b. .19c. .23d. .32e. None of the above