Consider a market with 200 risky stocks and a risk-free asset. Some of the risky assets have different expected returns. The risk-free interest rate is 4%, and the maximum achievable Sharpe ratio is 0.3. The standard deviation of the tangency portfolio is 20%. (a) (2 points, 3 attempts) Compute the expected return on the tangency portfolio. rt: % Alice is a mean-variance optimizer. Alice holds a portfolio with a positive weight on the risk-free asset. Alice would be better off, everything else held equal, if the risk-free rate increased to 5%. True False If the risk-free rate increased to 5%, everything else held equal, the composition of the tangency portfolio would change. False True