Pictet, a private bank in Switzerland, constructs a portfolio that perfectly mimics S&P 500. The average return and the standard deviation of the portfolio is 12% and 20% respectively. The T-bill rate yields 5%. Both Anna and Alex seek Pictets advice for a portfolio asset allocation. After a comprehensive evaluation, Anna and Alex are assigned with a risk aversion level of 3 and 1.5 respectively. Since Anna and Alex are wealthy clients, Pictet is always willing to lend money to them with T-bill rate + 0.8% if occasion arises.

(i) What expected return and standard deviation should Anna expect on her portfolio (Please round up to 2 decimal places)? [2pt]

(ii) Alex is recommended to invest with borrowings based on debt-equity ratio of 0.17. What is the expected return and reward-to-volatility ratio of Alexs portfolio (Please round up to 2 decimal places)? [3pt]