Consider portfolios with positions in the US and Brazilian equity markets. The (annual) expected return and standard deviation of returns for the 2 markets are as follows:

US Brazil

E[r] 5% 10%

SD[r] 15% 25%

The correlation between the returns is 0.4, and the (annual) risk-free (T-bill) rate is 1%. (The Excel file attached "Finance for Executives - US-China" that contains the calculations for the 2-asset example may be helpful in answering this question.)

a.Calculate the expected returns (in percent), standard deviations (in percent), and Sharpe ratios of the portfolios for weights in the US ranging from 100% to 0% (in 10% increments), with the remainder invested in Brazil.