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Question 22 4 pts Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are

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Question 22 4 pts Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 11% and 14%, respectively. The beta of A is .8, while that of B is 1.5. The T-bill rate is currently 6%, while the expected rate of return of the S&P 500 index is 12%. The standard deviation of portfolio A is 10% annually, while that of B is 31%, and that of the index is 20%. If you decided to invest in only one of these portfolios, which would you choose? portfolio A-its alpha is 0.2% portfolio A-its Sharpe ratio is 0.50 portfolio B-its Sharpe ratio is 0.26 portfolio B-its alpha is -1.0%

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