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Problem 8 1 4 Intro Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a return of 3%. The optimal risky portfolio, i.e., the portfolio with the highest Sharpe ratio, is given below: B D Stock A Stock B Risk-free asset 2 Expected return 0.062 0.071 0.03 3 Variance 0.1296 0.0484 Standard deviation 0.36 0.22 5 Covariance 0.02376 6 Optimal risky 7 portfolio Weights 0.1121 0.888 = 1-B8 9 Expected return 0.07 =B8*B2+C8 C2 10 Variance 0.04452 =B8^2*B3+C8^2*C3+2*B8*C8*B5 11 Standard deviation 0.211 =B10^0.5 12 Sharpe ratio 0.1895 =(B9-D2/B11 8 Part 1 | Attempt 2/10 for 10 pts. What is the expected return of a portfolio composed of 50% of the optimal risky portfolio and 50% of the risk-free asset? 4+ decimals Submit | Attempt 2/10 for 10 pts. Part 2 What is the standard deviation of such a portfolio? 3+ decimals Submit