A B Risk free Expected Return 6% 23% 2% Standard Deviation o 11% 28% 0% Covariance, Coverarb) -0.00462 Correlation Coefficient, PAB -15% E(rp) = WAE(TA) + WgE(MB) o = wc + wc +2w AWBCoU (TA,TB) risk premium Sharpe ratio standard deviation A. Suppose we invest 35% in A and 65% in B, what is the portfolio expected return? [Select] B. What is the portfolio variance? [Select] C. What is the Sharpe ratio of the portfolio? [Select]