a a a a. C. 22. The risk-free asset has a 4.5% expected return. You have put together a risky portfolio with an expected return of 15.0% and a standard deviation of 26.0%. Your risk aversion is A = 2.2 and Hannah, the retiree who lives next door, has a risk aversion of A = 3.8. What is the Sharpe ratio of the risky portfolio? 0.40 b. What are the weights of your optimal complete portfolio, and what is its expected return and its standard deviation? (70.60%, 29.40%); 11.91%; 18.36% What are the weights of Hannah's optimal complete portfolio, and what is its return and standard deviation? (40.88%, 59.12%); 8.79%; 10.63% d. If an investor had an optimal complete portfolio with weights (110.95%, -10.95%) what would be their risk aversion parameter, A? 1.4 e. Suppose Hannah from next door drops by one day to share a portfolio she has constructed which has an expected return of 12.0% and a standard deviation of 18.0%. Is this risky portfolio superior to the one you have? Explain. Yes. f. Using Hannah's risky portfolio, what are the weights of your optimal complete portfolio, and what is its expected return and standard deviation? (105.22%, -5.22%); 12.39%; 18.94% g. Using Hannah's risky portfolio, what are the weights of her optimal complete portfolio, and what is its expected return and standard deviation? (60.92%, 39.08%); 9.07%; 10.97% h. What is the Sharpe ratio of your optimal complete portfolio using your risky portfolio? What is the Sharpe ratio of your optimal complete portfolio using Hannah's risky portfolio? 0.40, 0.42