Here are data on two risky funds. The T-bill rate is 4% Fund A Fund B Expected return 12% 11% Standard deviation of returns 8% 10% Beta 1.2 Correlation Coefficient -0.1 1.5 There are two portfolios composed by the two funds with following weights Portfolio 1 Portfolio 2 WA 0.8 0.5 WB 0.2 0.5 (a) Based on the calculation of reward-to-volatility ratio (Sharpe ratio), do you prefer portfolio 1 or portfolio 2? (5 marks) (b) Suppose you places 40% of the complete portfolio to Portfolio 2 and the remainder in T-bills. Calculate the composition of the complete portfolio, its expected return, standard deviation, and Sharpe ratio. (4 marks) (c) Is it possible that you can use Fund A and Fund B to construct a portfolio has no market risk? If No, why? If Yes, how