This is Q1

3. In addition to the information in Q.1, assume that the annual) risk-free (T-bill) rate is 5%. x Calculate the expected returns and standard deviations of the following portionos. (i) 50% in the risk-free asset, 50% in the US (ii) 50% in the risk-free asset, 50% in Brazil (iii) 50% in the risk-free asset, 50% in the portfolio in Q.1 a(ii) Calculate the Sharpe ratios of (i) the US market (ii) the Brazilian market (iii) the portfolio in Q. 1a(ii) (iv) the portfolio in Q.2a(iii) Find the weights (T-bill, US, Brazil) for a portfolio with the same expected return as Brazil, using only a combination of the risk-free rate and the portfolio in Q.la(ii)? What is the standard deviation of this portfolio? What is the correlation of this portfolio with the portfolio in Q.2aiii)? FINANCIAL ECONOMICS Problem Set #2 Consider portfolios with positions in the US and Brazilian equity markets. The (annual) expected return and standard deviation of returns for the 2 markets are as follows: US E[r] 10% SD[r] 20% Brazil 15% 30% 3. In addition to the information in Q.1, assume that the annual) risk-free (T-bill) rate is 5%. x Calculate the expected returns and standard deviations of the following portionos. (i) 50% in the risk-free asset, 50% in the US (ii) 50% in the risk-free asset, 50% in Brazil (iii) 50% in the risk-free asset, 50% in the portfolio in Q.1 a(ii) Calculate the Sharpe ratios of (i) the US market (ii) the Brazilian market (iii) the portfolio in Q. 1a(ii) (iv) the portfolio in Q.2a(iii) Find the weights (T-bill, US, Brazil) for a portfolio with the same expected return as Brazil, using only a combination of the risk-free rate and the portfolio in Q.la(ii)? What is the standard deviation of this portfolio? What is the correlation of this portfolio with the portfolio in Q.2aiii)? FINANCIAL ECONOMICS Problem Set #2 Consider portfolios with positions in the US and Brazilian equity markets. The (annual) expected return and standard deviation of returns for the 2 markets are as follows: US E[r] 10% SD[r] 20% Brazil 15% 30%