Steve's portfolio has an expected return of 18% and is composed one third of risk-free asset with the remainder being invested in the tangency portfolio. Steve's portfolio has a Sharpe Ratio of 0.60, and the risk-free rate is equal to 2%. The variance of the tangency portfolio is _____________. Its expected return is equal to _____________.

a.

9.00% and 20.00%

b.

16.00% and 26.00%

c.

25.00% and 32.00%

d.

None of the other choices