3. Suppose that X1, X2 represent the returns of two different stocks. Each of them is distributed normally with the same (annual) mean and standard deviation , The Sharpe ratio provides a way to evaluate/compare investments. Roughly, given an asset (or portfolio) it takes the mean return (sometimes excess return, this is why the 'roughly) and divides it by the standard deviation Intuitively, this tells us how much we get in return measured as units of standard deviation. a) Suppose that the correlation between the two stocks is 1. You want to invest $100. How much would you allocate to each stock? (you will measure your investment in terms of the Sharpe ratio) b) Same question but now the correlation is now assumed to be 0. c) In conclusion, explain why it is good to mix up strategies with low correlation