Greta has risk aversion of $A=5$ when applied to return on wealth over a one$-$year horizon. She is pondering two

portfolios, the S&P $500$ and a hedge fund, as well as a number of $5-$year strategies. $($All rates are annual and

continuously compounded.$)$ The S&P $500$ risk premium is estimated at $6\%$ per year, with a standard deviation of $20\%.$

The hedge fund risk premium is estimated at $10\%$ with a standard deviation of $35\%.$ The returns on both of these

portfolios in any particular year are uncorrelated with its own returns in other years. They are also uncorrelated with

the returns of the other portfolio in other years. The hedge fund claims the correlation coefficient between the annual

return on the S&P $500$ and the hedge fund return in the same year is zero, but Greta is not fully convinced by this

claim.

Compute the estimated $1-$year risk premiums, standard deviations, and Sharpe ratios for the two portfolios. $($Do not

round your intermediate calculations. Round "Sharpe ratios" to $4$ decimal places and other answers to $2$ decimal

places.$)$

ANSWERS PLEASE