2. An investor would like to create a portfolio C with a mixture of investment X and Y. Let y be the portion he invested in Investment Y. Given that the correlation coefficient between the return from X and Y is 0.3. (a) (3 points) Write the expected return and the volatility of the portfolio C in terms of y. (b) (2 points) Find the Sharpe Ratio of the portfolio C if y = 0.5. (c) (5 points) Find the y to form an optimal risky portfolio Cr. Hence, find the Sharpe Ratio of this portfolio. (d) (2 points) Find the proportion of investment in risk-free asset in an optimal complete portfolio C for an individual with A = 5.