Exercise 6. Consider the following probability distribution for stocks A and B: State 1 2 3 4 5 P RA RB 0.10 10 % 8 % 0.20 13 % 7 % 0.20 12 % 6 % 0.30 14 % 9 % 0.20 15 % 8 % (a) Find the weights of the MVP I (b) What is the expected return and variance of the MVP? (C) What is the Sharpe ratio of the MVP if Rf = 2%? Exercise 6. Consider the following probability distribution for stocks A and B: State 1 2 3 4 5 P RA RB 0.10 10 % 8 % 0.20 13 % 7 % 0.20 12 % 6 % 0.30 14 % 9 % 0.20 15 % 8 % (a) Find the weights of the MVP I (b) What is the expected return and variance of the MVP? (C) What is the Sharpe ratio of the MVP if Rf = 2%