Suppose the universe of available securities include only two risky stock funds, a and b, and T-bills.

() The correlation between fund a and fund b is 0.20 (i.e., = . ).

Fund a	12%	20%
Fund b	20%	40%
T-bills	2%	0%

(2) If you invest in the two risky funds, what is the best reward-to-volatility ratio you can achieve? (Hint: Compute the weights and for the optimal risky portfolio ; then use the weights to calculate E(r), , and then finally the Sharpe ratio.