The benchmark portfolio is the S&P 500. Which of the following three portfolios can be combined with the benchmark portfolio to produce the highest combined Sharpe ratio? SAP 500 70M 14.08 0.333 0 0 Porto A 25 17.04 0.350 15 10.04 Portfolio B 7 16.04 0325 Porto 7.1 14.0 0333 0.15 2011 5.08 Expected Armour Expected and deviation Sharpe Ratio Active Return Active risk 3. Porto b. Porto Both portfolio AB d. Porto The benchmark portfolio is the S&P 500. Which of the following three portfolios can be combined with the benchmark portfolio to produce the highest combined Sharpe ratio? SAP 500 70M 14.08 0.333 0 0 Porto A 25 17.04 0.350 15 10.04 Portfolio B 7 16.04 0325 Porto 7.1 14.0 0333 0.15 2011 5.08 Expected Armour Expected and deviation Sharpe Ratio Active Return Active risk 3. Porto b. Porto Both portfolio AB d. Porto