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A portfolio consists of the following two funds. Fund Expected return Standard deviation Market value in the portfolio A 13% 21% $15,000 B 7% 6%

A portfolio consists of the following two funds. Fund Expected return Standard deviation Market value in the portfolio A 13% 21% $15,000 B 7% 6% $35,000 The correlation coefficient p between A and B is 0.36. Risk free rate is 3%. What is the Sharpe ratio of the portfolio? 0.75 0.42 0.55 0.66

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