Data on expected returns, standard deviations, covariances of returns and for security A, B and C are provided in the following spreadsheet. The portfolio of these three securities is constructed by investing wealth in each security in the proportions shown in cells B14, C14 and D14. D 1 C 0.0660 0.1880 7 B Portfolio of Security A, B, and C 2 A B 3 Expected Return 0.0310 0.0950 4 StDev Return 0.1580 0.2370 5 6 Variance-Covariance Matrix A B 8 A 0.0250 0.0067 9 B 0.0067 0.0562 10 0.0040 -0.0036 11 12 Asset Allocation 13 A B 14 Fractions to Invest 0.6000 0.2000 15 16 Portfolio Returns 17 Expected Return 777 18 StDev Return ??? 0.0040 -0.0036 0.0353 0.2000 (a) (b) Write down the actual mathematical expressions for cells B17 and B18 with cell references instead of the variables) to show the exact calculations of the portfolio expected return and the portfolio standard deviation of return. (15%) Write down the Excel formulae for the calculation of the quantities in cells B17 and B18 with cell references. (15%] Calculate the values in cells B17 and B18. [10%] What are the expected return and the standard deviation of return of a portfolio which is 50% long in security A, 25% long in security B and 25% long in security C? (10%) (c) (d) (e) The risk-free rate is assumed to be 0.5% per year. Calculate the Sharpe ratios for securities A, B, C, as well as for the portfolio constructed in question 17(d) above. [20%] (f) Comment on your answers to question 17(e) above. [30%]