2. You are considering investing $1,000 in a complete portfolio. The complete portfolio is composed of Treasury bills that pay 2% and a risky portfolio, P constructed with two risky securities, X and Y. The optimal weights of X and Y in P are 40% and 60%, respectively. X has an expected rate of return of 0.10 and variance of 0.0081, and Y has an expected rate of return of 0.06 and a variance of 0.0036. The coefficient of correlation, rho, between X and Y is 0.45. If you decide to hold a complete portfolio that has a standard deviation of expected returns, i.e., the risk or sigma, of 10% (35%) Phey =9S 60% tyo% 1800' esc fab What is the risk, ic, standard deviation of expected returns, for the risky portfolio P (5%)? a Op7.0z % caps lpck X Dog Y- 003 Cy, .0017 What will be the dollar values of your positions in X, Y, and Treasury bills respectively? (10% ) pol ,opl 3 control 21. 2 4po xlos -10 609 .o 40.00 E(leh) 0769 What is the SR for the risky portfolio P (5 %)? 7.6 % 7966 Sp .0703 d. What is the expected returns for this complete portfolio C (5%)? E)1-y xft E l profolio C lo Elate)7.6 +l-yx.02 What is the SR for this complete portfolio C (5%)? e. Ee)-Ii F(rat)-.02 f. Can you intuitively explain the relationship between the two Sharpe Ratios (from (c) for P and from (e) for C) and why the relationship holds in theory? (5%) 71- 7 work. Simpty g hether c