Part 2 please!

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: A B D 1 Stock A Stock B Risk-free asset 2 Expected return 0.062 0.075 0.03 3 Variance 0.1225 0.0484 4 Standard deviation 0.35 0.22 5 Covariance 0.0231 6 Optimal risky 7 portfolio 8 Weights 9 Expected return 10 Variance 0.0964 0.904 =1-B8 0.0737 =B8*B2+C8*C2 0.04468 =B8^2*B3+C8^2*C3+2*B8*C8*B5 11 Standard deviation 0.2114 =B10^0.5 12 Sharpe ratio 0.207 =(B9-D2)/B11 Part 1 | Attempt 1/3 for 10 pts. What is the expected return of a portfolio composed of 40% of the optimal risky portfolio and 60% of the risk-free asset? 4.748% Correct A B D 1 Stock A Stock B Risk-free asset 2 Expected return 0.062 0.075 0.03 3 Variance 0.1225 0.0484 0.35 0.22 4 Standard deviation 5 Covariance 0.0231 6 Optimal risky 7 portfolio 8 Weights 9 Expected return 10 Variance 0.0964 0.904 =1-B8 0.0737 =B8*B2+C8*C2 =B8^2*B3+C8^2*C3+2*B8*C8*B5 0.04468 11 Standard deviation 0.2114 =B10^0.5 12 Sharpe ratio 0.207 =(B9-D2)/B11 13 14 Complete portfolio 0.4 15 Weight on ORP 16 Expected return 0.0475 =B15*B9+(1-B15)*D2 Attempt 2/3 for 10 pts. Part 2 What is the standard deviation of such a portfolio? 3+ decimals Previous answers: 0.715% Submit