Assume that (i) the expected return on the stock market is 10% with a standard deviation of 20%, (ii) the expected return on gold is 5% with a standard deviation of 25%, and (iii) the risk-free rate is 2%. Further assume the correlation between returns on stocks and those on gold is -0.5. Which of the following is closest to the volatility of a portfolio that is 80% stocks and 20% gold? Group of answer choices

14.2%

15.0%

10.2%

21.0%

2.01%

Using the information in the previous problem (#8), which of the following is closest to the Sharpe ratio of each of stocks and gold?

Group of answer choices

Sharpe ratio of Stocks= 0.40, of gold=0.12

Sharpe ratio of Stocks= 0.50, of gold=0.20

Sharpe ratio of Stocks= 0.50, of gold=0.12

Sharpe ratio of Stocks= 0.40, of gold=0.20

Using the information in the problem #8, which of the following is closest to the Sharpe ratio of the (80%stocks, 20%gold) portfolio?

0.49

0.40

0.55

0.34