Three stocks have been chosen to make up a portfolio. The following table summarizes the expected returns and variances of returns for the three stocks: (action/performance/variance)

Furthermore, the correlations between the 3 actions are known: xy is 0.5; xz is 0.8 and yz is -0.2.

According to an analysis of the growth expectations of the different sectors of the economy, it has been determined that double the amount invested in stock Y should be invested in stock Z, but half of what is invested in stock X.

a) Determine the expected return and the risk of the portfolio that meets these restrictions.

b) If we consider another portfolio with a different composition that reports an expected return of 16.5% and a risk of 6.05%, which of the two portfolios has a higher risk-adjusted return?

Accin X Y Z Rendimiento 20% 12% 16% Varianza 0,0100 0,0016 0,0025 Accin X Y Z Rendimiento 20% 12% 16% Varianza 0,0100 0,0016 0,0025