Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a return of 3%. The optimal risky portfolio, ie, the portfolio with the highest Sharpe ratio is given below. 2 Expected retum 3 Variance 4 Standard deviation 5 Covariance BC Stock A Stock B Risk-free asset 0.062 0.076 0.03 0.1521 0.0484 0.39 022 0.02574 Optimal risky portfolio 8 Weights 9 Expected retum 10 Variance 11 Standard deviation 12 Sharpe ratio 0.0558 0.0752 0.04634 0.2153 0.2101 0.944 =1-88 =B8'52C8"C2 =88213+C8*2"C3+238*C8*85 =810^0.5 =(B9-D2)811 Part 1 Attempt 1/10 for 10 pts. What is the expected return of a portfolio composed of 50% of the optimal risky portfolio and 50% of the risk-free asser? 3+ decimals Submit Attempt 1/10 for 10 pts. Part 2 What is the standard deviation of such a portfolio? 3+ decimals Submit Intro The return statistics for two stocks and T-bills are given below: A B C D 1 Stock A Stock B T-bills 2 Expected return 0.094 0.064 0.02 3 Variance 0.16 0.0729 4 Standard deviation 0.4 0.27 5 Covariance 0.0324 Part 1 Attempt 1/10 for 10 pts. What is the Sharpe ratio of a portfolio with 90% invested in stock A and the rest in stock B? 3+ decimals Submit