Consider an economy with 2 risky assets and one risk free asset. Two investors, A and B, have mean-variance utility functions (with different risk aversion coefficients). Let P denote investor A's optimal portfolio of risky and risk-free assets and let Q denote investor B's optimal portfolio of risky and risk-free assets. P and Q have expected returns and standard deviations given by

E[R] St. Dev.

P 0.2 0.45

Q 0.1 0.25

(a) What is the risk-free interest rate in this economy?

(b) What is the Sharpe ratio of investor A?