the correct answer is 0.1034, looking for step by step.

The annual risk free rate is 0.04. We have the following information about three risky assets (on an annual basis). The correlation matrix of the three assets is: Calculate the expected return of the portfolio that maximises the Sharpe ratio. (Please provide the answer in decimal form to an accuracy of 4 decimal places.) The annual risk free rate is 0.04. We have the following information about three risky assets (on an annual basis). The correlation matrix of the three assets is: Calculate the expected return of the portfolio that maximises the Sharpe ratio. (Please provide the answer in decimal form to an accuracy of 4 decimal places.)