Suppose there are two risky assets: ABC and XYZ, and one risk-free asset (3-month T-bill) with return of 2.5%. The table below is the annual statistics: Given that the optimal risky portfolio Poptimal of ABC and XYZ consists of 40% on ABC and 60% on XYZ. What is the mean return, standard deviation and Sharpe Ratio of a new portfolio named P2 with different weights of the risk-free asset and the optimal risky portfolio Poptimal? (Hint: you need to compute the mean return and the standard deviation of Poptimal first).

Show the formula use in the excel!!

Stock E(ri std(ri) correlation coefficient ABC XYZ 16.5% 9.5% 13% 10% 0.18 Risk-free asset (3- month T-b ABC XYZ 16.50% 2 Mean Return 3 Standard Deviation 4 Correlation 9.50% 10.00% 2.50% 18.00% 0.18 0 7 Optimal Risky Portfolio P-optimal with 40% ABC and 60% XYZ 8 weight of ABC 9weight of XYZ 10 11 Optimal Portfolio mean return 12 Optimal Portfolio variance 13 Optimal Portfolio standard deviation 14 15 16 get formula 17 A new portfolio P2 with the risk-free asset and the optimal risky portfolio P optimal Weight of the optimal risky portfolioPorfolio P2 18 Poptimal 19 20 21 Portfolio P2 Standard Deviation get formula Sharpe Ratio of P2 Mean Return 0 get formula get formula 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 23 24 26 27