We are faced with two investors Frida and Paulo. They want to invest in two of the following three portfolios A, B and C. Expected return of Ais 7%, variance of Ais 0.04 ; expected return of B is 22%, variance of B is 0.81; and expected return of C is 8%, variance of C is 0.64. The three portfolios have the following covariances: Cov(A,B)=0.16, Cov(B,C)=0.12, and Cov(A,C)=0.45. The risk free rate RF = 1.5%. Paulo has $1,000 and wants to form an equal weight portfolio from A and C. What is the Sharpe ratio of Paulo's Portfolio? Select one: 26.7% None of the choices is correct 11.93% 0 24.85% 8.75%