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70. A portfolio consists of the following two funds. Fund A Fund B Expected return 1 5% 12% Standard deviation 23% 14% Portfolio market value

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70. A portfolio consists of the following two funds. Fund A Fund B Expected return 1 5% 12% Standard deviation 23% 14% Portfolio market value $12,000 $8,000 Correlation (RARE) .43 Risk-free rate 3.6% What is the Sharpe ratio of the portfolio? A. 0.42 B. 0.54 C. 0.60 D. 0.72 E. 0.79

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