Consider two stocks: WMT and IBM with the following properties:

The correlation of the two stock returns is

${}_{WMT,\text{I}\text{B}\text{M}}=9\%,$

and the risk$-$free rate is

$r_f=1\%.$

You are advising a client who has $$1$ million invested. Currently $50\%$ of this money is in WMT and $50\%$ is in IBM.

$2.$ You are told that the MVE $($mean$-$variance efficient$)$ portfolio formed with WMT and IBM has weights wWMT $=60\%$ and wIBM $=40\%.$

$($a$)$ What are the expected return and standard deviation of the MVE

portfolio?

$($b$)$ What is its Sharpe ratio? How does it compare with the Sharpe

ratio of your client$$s current portfolio? Explain your finding