You are the portfolio manager of a mutual fund that is invested 70% in stock X and 30% in stock Y. The stocks have the following expected returns and standard deviations The correlation coefficient between the return on stock X and Y is 0.20 . Currently, the risk-free rate is 5%. a. (5 points) What are the expected return (in \%) and the standard deviation (in \%) of the return of your portfolio? (keep two decimals) b. (15 points) You are advising a client who now has all of his wealth consisting of $1 million entirely invested in a fund with an expected return of 20% and standard deviation of 20%. Your client is perfectly happy with a portfolio that has a standard deviation of 20%. 1) Could you recommend your client a better portfolio that combines your mutual fund and the risk free asset? (Hint: compare the Sharpe ratio of your client's portfolio with the Sharpe ratio of your portfolio.) If so, what percentages of your client's $1 million would be invested in your