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You have access to three risky assets (Stocks A, B, and C) and a riskless asset Asset Expected return Standard deviation Stock A 8% 35%
You have access to three risky assets (Stocks A, B, and C) and a riskless asset
| Asset | Expected return | Standard deviation |
| Stock A | 8% | 35% |
| Stock B | 12% | 50% |
| Stock C | 15% | 75% |
| Riskless Asset | 5% | |
| Correlation(A,B) | 0.2 | |
| Correlation(A,C) | 0.2 | |
| Correlation(B,C) | -0.2 |
a) What are the portfolio weights of the tangency portfolio?
b) What is the Sharpe ratio of the tangency portfolio?
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