Consider the following market portfolios from the US, UK, and Japan. US UK Japan mu 0.12 0.15 0.14 sigma 0.15 0.24 0.22 We also know that the correlation coecient between US and UK market portfolios is US;UK = 0:5 and the correlation coecient between US and Japan is US;Japan = 0:266. Suppose that the risk-free rate is Rf = 5%. You currently hold a portfolio with 100% invested in the US market portfolio. (a) What are the Sharpe ratios for the US, UK, and Japanese market portfolios? (b) You are thinking about diversifying your existing portfolio with the UK market. Should you include the UK market portfolio in your new optimal portfolio? (c) You are thinking about diversifying your existing portfolio with Japanese market. Should you include the Japanese market portfolio in your new optimal portfolio?