Question 5 Portfolio optimization (20 points) The CEO of Mim, Inc., I.C. Pearl, has a portfolio ("good) that she expects to generate returns of 12% with a standard deviation of 15%. She has the opportunity to move a fraction of her wealth into a new investment ("highVol) that she expects to generate returns of 20% with a standard deviation of 35%. The risk free rate is 5%, and the correlation between the returns in "goodR" and "highVol" is 0.30. Assume that she can borrow and lend at the risk free rate. Part A (4 points):Find the Sharpe ratios of the current portfolio and suggested investment. The Sharpe Ratio of the portfolio "goodR" is The Sharpe Ratio of the portfolio "highvol" is Show all your work Part B (5 points):What is the expected return, volatility and Sharpe ratio of the portfolio that is equally split between "good" and "highvel" (50/50)? The expected return of this portfolio is _%, its volatility is %, and its Sharpe ratio is Show all your work. PartC(5 points):What is the optimal allocation between the current portfolio ("goodR) and this new investment ("highvel")? The optimal weight on the current portfolio is The optimal weight on the new investment is Sharpe Ratio of such a portfolio is