Suppose you have two stocks in your portfolio, Max and Min. The expected return of Max

is 20% and the expected return of Min is 10%. The standard deviation of Max is 40% and

the standard deviation of Min is 30%. The correlation between the two securities is zero.

Suppose the riskless asset has an expected return of 4%.

B. Which has the highest Sharpe ratio, Max, Min or the minimum variance portfolio combination of Max and Min?