Two securities have the following characteristics: E(ra)=0.15E(rb)=0.10a=0.20b=0.15 Assume that the risk free rate is 0.06, and the correlation coefficient between the two assets is 0. a) (5 points) Find the expected return and the variance of the portfolio that has the highest Sharpe ratio. b) (3 points) You want to invest in a portfolio (on the optimal capital allocation line you found above) that will earn an expected return of 18%. What will be the portfolio's standard deviation? c) (5 points) Assuming that the portfolio you invested in part (b), with 18% expected return, is the solution to your asset allocation problem where you chose the weights of the Tangency portfolio and the risk free asset to maximize your utility. Given that this is your optimal portfolio choice, resulting in 18% expected return, what is the value of your risk aversion coefficient, A? Two securities have the following characteristics: E(ra)=0.15E(rb)=0.10a=0.20b=0.15 Assume that the risk free rate is 0.06, and the correlation coefficient between the two assets is 0. a) (5 points) Find the expected return and the variance of the portfolio that has the highest Sharpe ratio. b) (3 points) You want to invest in a portfolio (on the optimal capital allocation line you found above) that will earn an expected return of 18%. What will be the portfolio's standard deviation? c) (5 points) Assuming that the portfolio you invested in part (b), with 18% expected return, is the solution to your asset allocation problem where you chose the weights of the Tangency portfolio and the risk free asset to maximize your utility. Given that this is your optimal portfolio choice, resulting in 18% expected return, what is the value of your risk aversion coefficient, A